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Bootstrap conditional distribution tests in the presence of dynamic misspecification

Corradi, Valentina; Swanson, Norman R. - In: Journal of econometrics 133 (2006) 2, pp. 779-806

Persistent link: https://www.econbiz.de/10007287902

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

Corradi, Valentina; Swanson, Norman R. - In: Journal of econometrics 136 (2007) 2, pp. 699

Persistent link: https://www.econbiz.de/10007391012

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

Corradi, Valentina; Swanson, Norman R. - In: International journal of forecasting 20 (2004) 2, pp. 185-200

Persistent link: https://www.econbiz.de/10006964444

Predictive density construction and accuracy testing with multiple possibly misspecified diffusion models

Corradi, Valentina; Swanson, Norman R. - In: Journal of econometrics 161 (2011) 2, pp. 304-325

Persistent link: https://www.econbiz.de/10008877461

Predictive density estimators for daily volatility based on the use of realized measures

Corradi, Valentina; Distaso, Walter; Swanson, Norman R. - In: Journal of econometrics 150 (2009) 2, pp. 119-139

Persistent link: https://www.econbiz.de/10008890764

A consistent test for nonlinear out of sample predictive accuracy

Corradi, Valentina; Swanson, Norman R. - In: Journal of econometrics 110 (2002) 2, pp. 353-381

Persistent link: https://www.econbiz.de/10001703526

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

Corradi, Valentina; Swanson, Norman R. - In: International journal of forecasting 20 (2004) 2, pp. 185-199

Persistent link: https://www.econbiz.de/10002033313

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 distribution tests when there is dynamic misspecification and parameter estimation error. Our approach differs from the literature to date because we construct a bootstrap...

Persistent link: https://www.econbiz.de/10001848652

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

A test for comparing multiple misspecified conditional distributions

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

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