Showing 1 - 6 of 6
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...
Persistent link: https://www.econbiz.de/10009372761
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...
Persistent link: https://www.econbiz.de/10005839094
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/10005750164
Our objectives in this paper are twofold. First, we introduce block bootstrap techniques that are (first order) valid in recursive estimation frameworks. Thereafter, we present two examples where predictive accuracy tests are made operational using our new bootstrap procedures. In one...
Persistent link: https://www.econbiz.de/10005750213
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...
Persistent link: https://www.econbiz.de/10005750215
In recent years, an impressive body or research on predictive accuracy testing and model comparison has been published in the econometrics discipline. Key contributions to this literature include the paper by Diebold and Mariano (DM: 1995) that sets the groundwork for much of the subsequent work...
Persistent link: https://www.econbiz.de/10010678606