Out-of-sample tests for conditional quantile coverage an application to Growth-at-Risk
Year of publication: |
2023
|
---|---|
Authors: | Corradi, Valentina ; Fosten, Jack ; Gutknecht, Daniel |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 236.2023, 2, p. 1-26
|
Subject: | Interval prediction | Quantile regression | Multiple hypothesis testing | Weak moment inequalities | Wild bootstrap | Growth-at-Risk | Statistischer Test | Statistical test | Bootstrap-Verfahren | Bootstrap approach | Regressionsanalyse | Regression analysis | Schätztheorie | Estimation theory | Schätzung | Estimation | Prognoseverfahren | Forecasting model | Momentenmethode | Method of moments |
-
Testing nowcast monotonicity with estimated factors
Fosten, Jack, (2020)
-
Testing for a general class of functional inequalities
Lee, Sokbae, (2014)
-
Backtesting global growth-at-Risk
Brownlees, Christian, (2021)
- More ...
-
Conditional Quantile Coverage : an Application to Growth-at-Risk
Corradi, Valentina, (2020)
-
Predictive Ability Tests with Possibly Overlapping Models
Corradi, Valentina, (2023)
-
Testing nowcast monotonicity with estimated factors
Fosten, Jack, (2020)
- More ...