An updated review of goodness-of-fit tests for regression models
W González-Manteiga, RM Crujeiras - Test, 2013 - Springer
This survey intends to collect the developments on Goodness-of-Fit for regression models
during the last 20 years, from the very first origins with the proposals based on the idea of …
during the last 20 years, from the very first origins with the proposals based on the idea of …
Predictive density evaluation
V Corradi, NR Swanson - Handbook of economic forecasting, 2006 - Elsevier
This chapter discusses estimation, specification testing, and model selection of predictive
density models. In particular, predictive density estimation is briefly discussed, and a variety …
density models. In particular, predictive density estimation is briefly discussed, and a variety …
Combining density forecasts
SG Hall, J Mitchell - International Journal of Forecasting, 2007 - Elsevier
This paper brings together two important but hitherto largely unrelated areas of the
forecasting literature, density forecasting and forecast combination. It proposes a practical …
forecasting literature, density forecasting and forecast combination. It proposes a practical …
A warp-speed method for conducting Monte Carlo experiments involving bootstrap estimators
R Giacomini, DN Politis, H White - Econometric theory, 2013 - cambridge.org
A WARP-SPEED METHOD FOR CONDUCTING MONTE CARLO EXPERIMENTS INVOLVING
BOOTSTRAP ESTIMATORS Page 1 Econometric Theory, 29, 2013, 567–589 …
BOOTSTRAP ESTIMATORS Page 1 Econometric Theory, 29, 2013, 567–589 …
Likelihood-based scoring rules for comparing density forecasts in tails
We propose new scoring rules based on conditional and censored likelihood for assessing
the predictive accuracy of competing density forecasts over a specific region of interest, such …
the predictive accuracy of competing density forecasts over a specific region of interest, such …
Combining inflation density forecasts
C Kascha, F Ravazzolo - Journal of forecasting, 2010 - Wiley Online Library
In this paper, we empirically evaluate competing approaches for combining inflation density
forecasts in terms of Kullback–Leibler divergence. In particular, we apply a similar suite of …
forecasts in terms of Kullback–Leibler divergence. In particular, we apply a similar suite of …
[图书][B] Evaluating econometric forecasts of economic and financial variables
MP Clements - 2005 - Springer
By a forecast will be meant any statement about 'the future', where the future is relative to the
analyst's viewpoint. So as well as the common sense notion of a forecast of what will happen …
analyst's viewpoint. So as well as the common sense notion of a forecast of what will happen …
Bootstrap conditional distribution tests in the presence of dynamic misspecification
V Corradi, NR Swanson - Journal of Econometrics, 2006 - Elsevier
In this paper, we show the first order validity of the block bootstrap for Kolmogorov-type
conditional distribution tests under dynamic misspecification and parameter estimation error …
conditional distribution tests under dynamic misspecification and parameter estimation error …
Nonparametric transition-based tests for jump diffusions
We develop a specification test for the transition density of a discretely sampled continuous-
time jump-diffusion process, based on a comparison of a nonparametric estimate of the …
time jump-diffusion process, based on a comparison of a nonparametric estimate of the …
Detecting for smooth structural changes in GARCH models
B Chen, Y Hong - Econometric Theory, 2016 - cambridge.org
Detecting and modeling structural changes in GARCH processes have attracted increasing
attention in time series econometrics. In this paper, we propose a new approach to testing …
attention in time series econometrics. In this paper, we propose a new approach to testing …