Predictive Density Evaluation
Predictive Density Evaluation
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预测密度评估
DOI：
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发表时间：
2005
期刊：
影响因子：
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通讯作者：
Norman R. Swanson
中科院分区：
文献类型：
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作者：
V. Corradi;Norman R. Swanson
本章讨论预测密度模型的估计、规格测试和模型选择。特别是，简要讨论了预测密度估计，以及各种不同的规范和模型评估测试，这是由包括Christoffersen和Diebold在内的不同作者提出的[Christoffersen， P., Diebold， F.X.(2000)]。“波动性预测与金融风险管理的相关性有多大？”[j]、Diebold, Gunther， T., Tay， A.S.（1998）。“评估密度预测在金融和管理中的应用”。[d], [c], [c], [c], [c], [c], [c]。金融风险管理中的多元密度预测评价与校准：外汇高频收益[j] .中国经济研究与发展[j] .（2008）。“对数据窥探的现实检查”。[j] .计量经济学[j] .（2003）。测试动态模型的参数条件分布。《经济统计评论》第85期，531-549页。[Corradi， V., Swanson， N.R.] .（2005）。“用于比较多个错误指定的条件分布的测试”。计量经济理论21 (2)；科拉迪，V.，斯旺森，N.R. （2005b）。基于递归估计方案的预测推理的非参数自举程序。工作论文，罗格斯大学；科拉迪，V.，斯旺森，N.R. （2006a）。“存在动态错误规范的自举条件分布测试”。计量经济学杂志，已出版；科拉迪，V.，斯旺森，N.R. （2006b）。“预测密度和条件置信区间准确性测试”。计量经济学学报，已出版[j] .洪彦明，李洪峰（2003）。利率期限结构中连续时间模型的非参数规范检验。《金融研究评论》，18,37-84]等。本文还提供了一些现有技术在样本外评估情况下的扩展，并概述了与这些扩展相关的渐近结果。
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 specification and model evaluation tests due to various authors including Christoffersen and Diebold [Christoffersen, P., Diebold, F.X. (2000). "How relevant is volatility forecasting for financial risk management?". Review of Economics and Statistics 82, 12-22], Diebold, Gunther and Tay [Diebold, F.X., Gunther, T., Tay, A.S. (1998). "Evaluating density forecasts with applications to finance and management". International Economic Review 39, 863-883], Diebold, Hahn and Tay [Diebold, F.X., Hahn, J., Tay, A.S. (1999). "Multivariate density forecast evaluation and calibration in financial risk management: High frequency returns on foreign exchange". Review of Economics and Statistics 81, 661-673], White [White, H. (2000). "A reality check for data snooping". Econometrica 68, 1097-1126], Bai [Bai, J. (2003). "Testing parametric conditional distributions of dynamic models". Review of Economics and Statistics 85, 531-549], Corradi and Swanson [Corradi, V., Swanson, N.R. (2005a). "A test for comparing multiple misspecified conditional distributions". Econometric Theory 21, 991-1016; Corradi, V., Swanson, N.R. (2005b). "Nonparametric bootstrap procedures for predictive inference based on recursive estimation schemes". Working Paper, Rutgers University; Corradi, V., Swanson, N.R. (2006a). "Bootstrap conditional distribution tests in the presence of dynamic misspecification". Journal of Econometrics, in press; Corradi, V., Swanson, N.R. (2006b). "Predictive density and conditional confidence interval accuracy tests". Journal of Econometrics, in press], Hong and Li [Hong, Y.M., Li, H.F. (2003). "Nonparametric specification testing for continuous time models with applications to term structure of interest rates". Review of Financial Studies, 18, 37-84], and others are reviewed. Extensions of some existing techniques to the case of out-of-sample evaluation are also provided, and asymptotic results associated with these extensions are outlined.