JSM 2012 Home

JSM 2012 Online Program

The views expressed here are those of the individual authors and not necessarily those of the JSM sponsors, their officers, or their staff.

Online Program Home

Abstract Details

Activity Number: 247
Type: Contributed
Date/Time: Monday, July 30, 2012 : 2:00 PM to 3:50 PM
Sponsor: Business and Economic Statistics Section
Abstract - #305367
Title: Tests of Specification and Distributional Change for Predictive Densities
Author(s): Tatevik Sekhposyan*+ and Barbara Rossi
Companies: Bank of Canada and Duke University
Address: 570 Laurier Avenue West, Ottawa, ON, K1R 1C8, Canada
Keywords: Predictive Density ; Dynamic Misspeci?cation ; Instability ; Structural Change ; Forecast Evaluation ; Survey forecasts

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.

The address information is for the authors that have a + after their name.
Authors who are presenting talks have a * after their name.

Back to the full JSM 2012 program

2012 JSM Online Program Home

For information, contact jsm@amstat.org or phone (888) 231-3473.

If you have questions about the Continuing Education program, please contact the Education Department.