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Corradi, Valentina (contributor); … - 2004 - [Elektronische Ressource]

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 specifications and model evaluation tests due to various authors including Christoffersen and...

Persistent link: https://www.econbiz.de/10002432791

The block bootstrap for parameter estimation error in recursive estimation schemes, with applications to predictive evaluation

Corradi, Valentina (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001848668

Bootstrap procedures for recursive estimation schemes with application to forecast model selection

Corradi, Valentina (contributor); … - 2004 - [Elektronische Ressource]

function. Our objectives in this paper are twofold. First, we introduce block bootstrap techniques that are (first order) valid … operational using our new bootstrap procedures. One of the applications outlines a consistent test for out-of-sample nonlinear …

Persistent link: https://www.econbiz.de/10002432747

Bootstrap conditional distribution tests in the presence of dynamic misspecification

Corradi, Valentina (contributor); … - 2003 - [Elektronische Ressource], Rev

In this paper, we show the first order validity of the block bootstrap in the context of Kolmogorov type conditional … to date because we construct a bootstrap statistic that allows for dynamic misspecification under both hypotheses. We … 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/10001848652

A test for comparing multiple misspecified conditional distributions

Corradi, Valentina (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001848671

Some recent developments in predictive accuracy testing with nested models and (generic) nonlinear alternatives

Corradi, Valentina (contributor); … - 2003 - [Elektronische Ressource], Rev

Forecasters and applied econometricians are often interested in comparing the predictive accuracy of nested competing models. A leading example of nestedness is when predictive ability is equated with "out-of-sample Granger causalityʺ. In particular, it is often of interest to assess whether...

Persistent link: https://www.econbiz.de/10001848736

Evaluation of dynamic stochastic general equilibrium models based on distributional comparison of simulated and historical data

Corradi, Valentina (contributor); … - 2003 - [Elektronische Ressource], Rev

in the theory of the bootstrap, Kolmogorov type testing, and other work on the evaluation of DSGEs, aimed at comparing … tabulated. In order to address this issue, we show the validity of two versions of the block bootstrap in our context. An …

Persistent link: https://www.econbiz.de/10001848913

Bootstrap specification test for diffusion processes

Corradi, Valentina (contributor); … - 2003 - [Elektronische Ressource]

This paper introduces bootstrap specification tests for diffusion processes. In the one-dimensional case, the proposed … for the test, we use an empirical process version of the block bootstrap which properly accounts for the contribution of … samples as small as 400 observations when tests are formed using critical values constructed with as few as 100 bootstrap …

Persistent link: https://www.econbiz.de/10001848918

Consistent estimation with a large number of weak instruments

Chao, John C. (contributor); Swanson, Norman R. (contributor) - 2004 - [Elektronische Ressource], rev

This paper analyzes the conditions under which consistent estimation can be achieved in instrumental Variables (IV) regression when the available instruments are weak, in the local-to-zero sense of Staiger and Stock (1997) and using the many-instrument framework of Morimune (1983) and Bekker...

Persistent link: https://www.econbiz.de/10002432934

Asymptotic normality of single-equation estimators for the case with a large number of weak instruments

Chao, John C. (contributor); Swanson, Norman R. (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001848647