.png){kind=icon}
返回
Testing Interval Forecasts: A GMM-Based Approach
.png){kind=icon}
OA
AI
DOI：10.1002/for.1260.png)
.png){kind=icon}
.png){kind=icon}
分享.png){kind=icon}
收藏
摘要
En 中文
This paper proposes a new evaluation framework for interval forecasts. Our model-free test can be used to evaluate interval forecasts and high-density regions, potentially discontinuous and/or asymmetric. Using a simple J-statistic, based on the moments defined by the orthonormal polynomials associated with the binomial distribution, this new approach presents many advantages. First, its implementation is extremely easy. Second, it allows for a separate test for unconditional coverage, independence and conditional coverage hypotheses. Third, Monte Carlo simulations show that for realistic sample sizes our GMM test has good small-sample properties. These results are corroborated by an empirical application on SP500 and Nikkei stock market indexes. It confirms that using this GMM test leads to major consequences for the ex post evaluation of interval forecasts produced by linear versus nonlinear models. Copyright (c) 2011 John Wiley & Sons, Ltd.
Keyword:
interval forecasts
high-density region
GMM
AI总结
对已上传原文的论文进行重点信息的提取，主要内容包括：简要概述、研究摘要、背景介绍、关键亮点、图文解析、展望与总结。