Predictive Density Accuracy Tests ∗

@inproceedings{Corradi2004PredictiveDA,
  title={Predictive Density Accuracy Tests ∗},
  author={Valentina Corradi and Norman R. Swanson},
  year={2004}
}
This paper outlines a testing procedure for assessing the relative out-of-sample predictive accuracy of multiple conditional distribution models, and surveys existing related methods in the area of predictive density evaluation, including methods based on the probability integral transform and the Kullback-Leibler Information Criterion. The procedure is closely related to Andrews’ (1997) conditional Kolmogorov test and to White’s (2000) reality check approach, and involves comparing square… CONTINUE READING
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