This chapter discusses estimation, specification testing, and model selection of predictive
density models. In particular, predictive density estimation is briefly discussed, and a variety …

This paper describes some recent advances and contributions to our understanding of
economic forecasting. The framework we develop helps explain the findings of forecasting …

Probabilistic forecasts of continuous variables take the form of predictive densities or
predictive cumulative distribution functions. We propose a diagnostic approach to the …

Threshold autoregression in economics Page 1 Statistics and Its Interface Volume 4 (2011)
123–127 Threshold autoregression in economics Bruce E. Hansen∗ The impact of Howell …

We propose a test for comparing the out-of-sample accuracy of competing density forecasts
of a variable. The test is valid under general conditions: The data can be heterogeneous and …

We consider forecasting using a combination, when no model coincides with a non‐constant
data generation process (DGP). Practical experience suggests that combining forecasts …

A density forecast of the realization of a random variable at some future time is an estimate
of the probability distribution of the possible future values of that variable. This article …

We discuss methods for the evaluation of probabilistic predictions of vector-valued
quantities, that can take the form of a discrete forecast ensemble or a density forecast. In …

In this paper we discuss the current state-of-the-art in estimating, evaluating, and selecting
among non-linear forecasting models for economic and financial time series. We review …

This paper brings together two important but hitherto largely unrelated areas of the
forecasting literature, density forecasting and forecast combination. It proposes a practical …