Search Results - subject:"parameter estimation error"

A survey of recent advances in forecast accuracy comparison testing, with an extension to stochastic dominance

Corradi, Valentina; Swanson, Norman R. - 2013

that allows for parameter estimation error in certain contexts, and White (2000) who develops testing methodology suitable …, both under vanishing and non-vanishing parameter estimation error, with focus on the construction of valid bootstrap … critical values in the case of non-vanishing parameter estimation error, under recursive estimation schemes, drawing on Corradi …

Persistent link: https://www.econbiz.de/10009766717

A simulation based specification test for diffusion processes

Bhardwaj, Geetesh; Corradi, Valentina; Swanson, Norman R. - 2005

This paper makes two contributions. First, we outline a simple simulation based framework for constructing conditional distributions for multi-factor and multi-dimensional diffusion processes, for the case where the functional form of the conditional density is unknown. The distributions can be...

Persistent link: https://www.econbiz.de/10010266342

Nonparametric bootstrap procedures for predictive inference based on recursive estimation schemes

Corradi, Valentina; Swanson, Norman R. - 2005

vanishing parameter estimation error, and extend the integrated conditional moment tests of Bierens (1982, 1990) and Bierens and …

Persistent link: https://www.econbiz.de/10010266361

A predictive comparison of some simple long memory and short memory models of daily US stock returns, with emphasis on business cycle effects

Bhardwaj, Geetesh; Swanson, Norman R. - 2005

This chapter builds on previous work by Bhardwaj and Swanson (2004) who address the notion that many fractional I(d) processes may fall into the empty box" category, as discussed in Granger (1999). However, rather than focusing primarily on linear models, as do Bhardwaj and Swanson, we analyze...

Persistent link: https://www.econbiz.de/10010266365

Predictive density evaluation

Corradi, Valentina; Swanson, Norman R. - 2005

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/10010282675

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

Bhardwaj, Geetesh; Swanson, Norman R. - 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/10010276818

Predective Density and Conditional Confidence Interval Accuracy Tests

Corradi, Valentina; Swanson, Norman R. - 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/10010276819

Bootstrap Conditional Distribution Tests In the Presence of Dynamic Misspecification

Corradi, Valentina; Swanson, Norman R. - 2003

distribution tests when there is dynamic misspecification and parameter estimation error. Our approach differs 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/10010263212

The Block Bootstrap for Parameter Estimation Error In Recursive Estimation Schemes, With Applications to Predictive Evaluation

Swanson, Norman R.; Corradi, Valentina - 2003

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Persistent link: https://www.econbiz.de/10010263214

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

Corradi, Valentina; Swanson, Norman R. - 2003

constructing predictive accuracy tests, namely: the contribution of parameter estimation error, the choice of linear versus …

Persistent link: https://www.econbiz.de/10010263216