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Abstract Details
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Activity Number:
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247
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Type:
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Contributed
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Date/Time:
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Monday, July 30, 2012 : 2:00 PM to 3:50 PM
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Sponsor:
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Business and Economic Statistics Section
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| Abstract - #305367 |
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Title:
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Tests of Specification and Distributional Change for Predictive Densities
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Author(s):
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Tatevik Sekhposyan*+ and Barbara Rossi
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Companies:
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Bank of Canada and Duke University
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Address:
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570 Laurier Avenue West, Ottawa, ON, K1R 1C8, Canada
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Keywords:
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Predictive Density ;
Dynamic Misspeci?cation ;
Instability ;
Structural Change ;
Forecast Evaluation ;
Survey forecasts
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Abstract:
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We propose new methods for evaluating predictive densities. First, we propose new Kolmogorov-Smirnov and Cramér-von Mises-type tests for correct specification of predictive densities that are robust to dynamic misspecification and to the presence of instabilities. In addition, we offer a simple way of testing for distributional change in predictive densities even if they are mis-specified. Our results indicate that our tests are well sized and have good power in detecting misspecification and time variation (individually and jointly) in predictive densities. An empirical application to the density forecasts of the Survey of Professional Forecasters shows the usefulness of our methodology.
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