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Chapter 5 Predictive Density Evaluation

Corradi, V and Swanson, NR (2006) Chapter 5 Predictive Density Evaluation Handbook of Economic Forecasting, 1. pp. 197-284.

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Abstract

This chapter discusses estimation, specification testing, and model selection of predictive density models. In particular, predictive density estimation is briefly discussed, and a variety of different specification and model evaluation tests due to various authors including Christoffersen and Diebold [Christoffersen, P., Diebold, F.X. (2000). "How relevant is volatility forecasting for financial risk management?". Review of Economics and Statistics 82, 12-22], Diebold, Gunther and Tay [Diebold, F.X., Gunther, T., Tay, A.S. (1998). "Evaluating density forecasts with applications to finance and management". International Economic Review 39, 863-883], Diebold, Hahn and Tay [Diebold, F.X., Hahn, J., Tay, A.S. (1999). "Multivariate density forecast evaluation and calibration in financial risk management: High frequency returns on foreign exchange". Review of Economics and Statistics 81, 661-673], White [White, H. (2000). "A reality check for data snooping". Econometrica 68, 1097-1126], Bai [Bai, J. (2003). "Testing parametric conditional distributions of dynamic models". Review of Economics and Statistics 85, 531-549], Corradi and Swanson [Corradi, V., Swanson, N.R. (2005a). "A test for comparing multiple misspecified conditional distributions". Econometric Theory 21, 991-1016; Corradi, V., Swanson, N.R. (2005b). "Nonparametric bootstrap procedures for predictive inference based on recursive estimation schemes". Working Paper, Rutgers University; Corradi, V., Swanson, N.R. (2006a). "Bootstrap conditional distribution tests in the presence of dynamic misspecification". Journal of Econometrics, in press; Corradi, V., Swanson, N.R. (2006b). "Predictive density and conditional confidence interval accuracy tests". Journal of Econometrics, in press], Hong and Li [Hong, Y.M., Li, H.F. (2003). "Nonparametric specification testing for continuous time models with applications to term structure of interest rates". Review of Financial Studies, 18, 37-84], and others are reviewed. Extensions of some existing techniques to the case of out-of-sample evaluation are also provided, and asymptotic results associated with these extensions are outlined. © 2006 Elsevier B.V. All rights reserved.

Item Type: Article
Authors :
NameEmailORCID
Corradi, Vv.corradi@surrey.ac.ukUNSPECIFIED
Swanson, NRUNSPECIFIEDUNSPECIFIED
Date : 1 December 2006
Identification Number : 10.1016/S1574-0706(05)01005-0
Depositing User : Symplectic Elements
Date Deposited : 16 May 2017 15:27
Last Modified : 17 May 2017 14:35
URI: http://epubs.surrey.ac.uk/id/eprint/819750

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