Alternative tests for correct specification of conditional predictive densities

DOI10.1016/j.jeconom.2018.07.008zbMath1452.62956OpenAlexW3122976219MaRDI QIDQ1739884

Barbara Rossi, Tatevik Sekhposyan

Publication date: 29 April 2019

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10230/22488

zbMATH Keywords

probability integral transformpredictive densityforecast evaluationKolmogorov-Smirnov testCramér-von Mises test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (2)

Advances in nowcasting economic activity: the role of heterogeneous dynamics and fat tails ⋮ A bootstrap approach for generalized Autocontour testing Implications for VIX forecast densities

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