A TEST FOR COMPARING MULTIPLE MISSPECIFIED CONDITIONAL INTERVAL MODELS

DOI10.1017/S0266466605050498zbMath1081.62011MaRDI QIDQ3375348

Valentina Corradi, Norman R. Swanson

Publication date: 8 March 2006

Published in: Econometric Theory (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric tolerance and confidence regions (62F25) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03)

Related Items (11)

Maximum likelihood and the bootstrap for nonlinear dynamic models ⋮ Bootstrap conditional distribution tests in the presence of dynamic misspecification ⋮ Evaluation of dynamic stochastic general equilibrium models based on distributional comparison of simulated and historical data ⋮ Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates ⋮ Estimation and model selection of semiparametric copula-based multivariate dynamic models under copula misspecification ⋮ Predictive density and conditional confidence interval accuracy tests ⋮ Validating forecasts of the joint probability density of bond yields: can affine models beat random walk? ⋮ ROBUST FORECAST COMPARISON ⋮ How to compare interpretatively different models for the conditional variance function ⋮ Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models ⋮ Likelihood-based scoring rules for comparing density forecasts in tails

Cites Work

• Likelihood Ratio Tests for Model Selection and Non-Nested Hypotheses
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Maximum likelihood and the bootstrap for nonlinear dynamic models
• Comparing dynamic equilibrium models to data: a Bayesian approach
• Second-order correctness of the blockwise bootstrap for stationary observations
• Consistent bootstrap tests of parametric regression functions
• The large sample behaviour of the generalized method of moments estimator in misspecified models
• The jackknife and the bootstrap for general stationary observations
• A CONSISTENT TEST OF CONDITIONAL PARAMETRIC DISTRIBUTIONS
• A sharper Bonferroni procedure for multiple tests of significance
• A Conditional Kolmogorov Test
• A Reality Check for Data Snooping
• On blocking rules for the bootstrap with dependent data
• Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators
• Higher-Order Improvements of a Computationally Attractive k-Step Bootstrap for Extremum Estimators
• Maximum Likelihood Estimation of Misspecified Models
• Consistent specification testing for conditional moment restrictions

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