Conditional predictive density evaluation in the presence of instabilities Academic Article

abstract

• We propose new methods for evaluating predictive densities. The methods include Kolmogorov-Smirnov and Cramr-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 predictive densities even if it appears only over a fraction of the sample, due to the presence of instabilities. Our results indicate that our tests are well sized and have good power in detecting mis-specification in predictive densities, even when it is time-varying. An application to density forecasts of the Survey of Professional Forecasters demonstrates the usefulness of the proposed methodologies. 2013 Elsevier B.V. All rights reserved.

authors

• Sekhposyan, Tatevik

published proceedings

• Journal of Econometrics

author list (cited authors)

• Rossi, B., & Sekhposyan, T.

citation count

• 26

complete list of authors

• Rossi, Barbara||Sekhposyan, Tatevik

publication date

• December 2013

publisher

• Elsevier  Publisher

published in

• Journal of Econometrics  Journal

keywords

• C22 C52 C53
• Dynamic Mis-specification
• Forecast Evaluation
• Instability
• Predictive Density
• Structural Change

Digital Object Identifier (DOI)

• 10.1016/j.jeconom.2013.04.008

start page

• 199

end page

• 212

volume

• 177

issue

• 2

URL

• http%3A%2F%2Fdx.doi.org%2F10.1016%2Fj.jeconom.2013.04.008