Alternative Tests for Correct Specification of Conditional Predictive Densities
2016/03/25
研討會日期 : 2016-03-25
時間 : 14:30
主講人 : Professor Barbara Rossi
主持人 : Professor Cheng-Ying Yang
地點 : Conference Room B110
演講者簡介 : Professor Rossi received her Ph.D. in Economics from Bologna University, Bologna (Italy) in 1999 and Princeton University in 2001. She is currently the ICREA Professor at University of Pompeu Fabra. Her research fields are Time Series Econometrics, Applied International Finance and Macroeconomics.
演講摘要 : We propose new methods for evaluating predictive densities in an environment where the estimation error of the parameters used to construct the densities is preserved asymptotically under the null hypothesis. The tests offer a simple way to evaluate the correct specification of predictive densities. Monte Carlo simulation results indicate that our tests are well sized and have good power in detecting misspecification. An empirical application to the Survey of Professional Forecasters and a baseline macroeconomic model shows the usefulness of our methodology.
