Rossi, Barbara; Sekhposyan, Tatevik - In: Journal of Econometrics 177 (2013) 2, pp. 199-212
We propose new methods for evaluating predictive densities. The methods include Kolmogorov–Smirnov and Cramér–von Mises-type tests for the correct specification of predictive densities robust to dynamic mis-specification. The novelty is that the tests can detect mis-specification in the...