In this chapter we discuss model selection and predictive accuracy tests in the context of parameter and model uncertainty under recursive and rolling estimation schemes. We begin by summarizing some recent theoretical findings, with particular emphasis on the construction of valid bootstrap...

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...

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...

This paper introduces a new block bootstrap which is valid for recursive m-estimators, in the sense that its use suFFIces to mimic the limiting distribution of (1/P^.5)(SUM(t=R to T-1)(THETA-t-hat - THETA-plus)); where R denotes the length of the estimation period, P the number of recursively...