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Jin, Sainan - 2016

Forecast accuracy is typically measured in terms of a given loss function. However, as a consequence of the use of misspecified models in multiple model comparisons, relative forecast rankings are loss function dependent. This paper addresses this issue by using a novel criterion for forecast...

Persistent link: https://www.econbiz.de/10013004747

Big Data Analytics in Economics : What Have We Learned So Far, and Where Should We Go from Here?

Swanson, Norman R. - 2017

Research into predictive accuracy testing remains at the forefront of the forecasting field. Onereason for this is that rankings of predictive accuracy across alternative models, which under misspecification are loss function dependent, are universally utilized to assess the usefulness of...

Persistent link: https://www.econbiz.de/10012952726

Testing for Jumps and Jump Intensity Path Dependence

Corradi, Valentina - 2017

In this paper, we fill a gap in the financial econometrics literature, by developing a “jump test” for the null hypothesis that the probability of a jump is zero. The test is based on realized third moments, and uses observations over an increasing time span. The test offers an alternative...

Persistent link: https://www.econbiz.de/10012952731

The Effect of Data Transformation on Common Cycle, Cointegration, and Unit Root Tests : Monte Carlo Results and a Simple Test

Swanson, Norman R.; Corradi, Valentina - 2003

In the conduct of empirical macroeconomic research, unit root, cointegration, common cycle, and related tests statistics are often constructed using logged data, even though there is often no clear reason, at least from an empirical perspective, why logs should be used rather than levels....

Persistent link: https://www.econbiz.de/10014075928

Bootstrap Specification Tests for Diffusion Processes

Swanson, Norman R.; Corradi, Valentina - 2003

This paper introduces bootstrap specification tests for diffusion processes. In the one-dimensional case, the proposed … whether the drift and variance components of a particular continuous time model are correctly specified. However, we compare … tests, we use an empirical process version of the block bootstrap which properly accounts for the contribution of PEE. An …

Persistent link: https://www.econbiz.de/10014075929

Bootstrap Conditional Distribution Tests in the Presence of Dynamic Misspecification

Swanson, Norman R.; Corradi, Valentina - 2003

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/10014075931

Evaluation of Dynamic Stochastic General Equilibrium Models Based on Distributional Comparison of Simulated and Historical Data

Swanson, Norman R.; Corradi, Valentina - 2003

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. Two …

Persistent link: https://www.econbiz.de/10014075932

Testing for Structural Stability of Factor Augmented Forecasting Models

Corradi, Valentina - 2013

distribution. We also establish the first order validity of (block) bootstrap critical values. Finally, we provide an empirical …

Persistent link: https://www.econbiz.de/10013079042

Predictive Inference for Integrated Volatility

Swanson, Norman R.; Corradi, Valentina; Distaso, Walter - Department of Economics, Rutgers University-New Brunswick - 2011

In recent years, numerous volatility-based derivative products have been engineered. This has led to interest in constructing conditional predictive densities and confidence intervals for integrated volatility. In this paper, we propose nonparametric kernel estimators of the aforementioned...

Persistent link: https://www.econbiz.de/10009372753

Predictive Inference for Integrated Volatility

Swanson, Norman R.; Corradi, Valentina; Distaso, Walter - Department of Economics, Rutgers University-New Brunswick - 2011

In recent years, numerous volatility-based derivative products have been engineered. This has led to interest in constructing conditional predictive den- sities and con¯dence intervals for integrated volatility. In this paper, we propose nonparametric estimators of the aforementioned...

Persistent link: https://www.econbiz.de/10009372759