Search Results - subject:"Parameter estimation error"

Corradi, Valentina; Swanson, Norman - Department of Economics, Rutgers University-New Brunswick - 2006

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...

Persistent link: https://www.econbiz.de/10005839054

Chapter 5 Predictive Density Evaluation

Corradi, Valentina; Swanson, Norman R. - 2006

Persistent link: https://www.econbiz.de/10014023701

Chapter 3 Forecast Evaluation

West, Kenneth D. - 2006

This chapter summarizes recent literature on asymptotic inference about forecasts. Both analytical and simulation based methods are discussed. The emphasis is on techniques applicable when the number of competing models is small. Techniques applicable when a large number of models is compared to...

Persistent link: https://www.econbiz.de/10014023703

Block Bootstrap for Parameter Estimation Error when Parameters are recursively estimated

Swanson, Norman R.; Corradi, Valentina - Econometric Society - 2004

case of non-vanishing parameter estimation error. The second is an out of sample version of the integrated conditional …

Persistent link: https://www.econbiz.de/10005063601

Predective Density and Conditional Confidence Interval Accuracy Tests

Corradi, Valentina; Swanson, Norman - Department of Economics, Rutgers University-New Brunswick - 2004

This paper outlines testing procedures for assessing the relative out-of-sample predictive accuracy of multiple conditional distribution models. The tests that are discussed are based on either the comparison of entire conditional distributions or the comparison of predictive confidence...

Persistent link: https://www.econbiz.de/10005750164

An Empirical Investigation of the Usefulness of ARFIMA Models for Predicting Macroeconomic and Financial Time Series

Bhardwaj, Geetesh; Swanson, Norman - Department of Economics, Rutgers University-New Brunswick - 2004

This paper addresses the notion that many fractional I(d) processes may fall into the "empty box" category, as discussed in Granger (1999). We present ex ante forecasting evidence based on an updated version of the absolute returns series examined by Ding, Granger and Engle (1993) that suggests...

Persistent link: https://www.econbiz.de/10005750190

Generalized (Cross) Spectral Tests for Optimal Forecasts and Conditional Predictive Ability Under Generalized Loss Functions

Lee, Tae-Hwy; Hong, Yongmiao - Econometric Society - 2004

Under the squared error loss, the optimal forecast is the conditional mean, and the one-step forecast error is a martingale difference (MD). The one-step forecast error forms the conditional moment condition obtained from the loss derivative with respect to the forecast. Similarly, under a...

Persistent link: https://www.econbiz.de/10005329017

Some Recent Developments in Predictive Accuracy Testing With Nested Models and (Generic) Nonlinear Alternatives

Corradi, Valentina; Swanson, Norman - Department of Economics, Rutgers University-New Brunswick - 2003

We provide analytical formulae for the asymptotic bias (ABIAS) and mean squared error (AMSE) of the IV estimator, and obtain approximations thereof based on an asymptotic scheme which essentially requires the expectation of the first stage F-statistic to converge to a finite (possibly small)...

Persistent link: https://www.econbiz.de/10005750228

Bootstrap Specification Tests for Diffusion Processes

Corradi, Valentina; Swanson, Norman R. - Department of Economics, Rutgers University-New Brunswick - 2003

that reflect data dependence and parameter estimation error (PEE). In order to obtain asymptotically valid critical values …

Persistent link: https://www.econbiz.de/10005839064

Bootstrap Conditional Distribution Tests In the Presence of Dynamic Misspecification

Corradi, Valentina; Swanson, Norman R. - Department of Economics, Rutgers University-New Brunswick - 2003

distribution tests when there is dynamic misspecification and parameter estimation error. Our approach di®ers from the literature … misspecification and parameter estimation error. In order to provide valid asymptotic critical values we suggest an extention of the … empirical process version of the block bootstrap to the case of non vanishing parameter estimation error. The findings from …

Persistent link: https://www.econbiz.de/10005839091