A sequential test for the specification of predictive densities

Lin, J; Wu, XM

Lin, J (reprint author), Xiamen Univ, Sch Econ, Dept Finance, Xiamen 361005, Fujian, Peoples R China.; Lin, J (reprint author), Xiamen Univ, Wang Yanan Inst Studies Econ, Xiamen 361005, Fujian, Peoples R China.

ECONOMETRICS JOURNAL, 2017; 20 (2): 190

Abstract

We develop a specification test of predictive densities, based on the fact that the generalized residuals of correctly specified predictive density mo......

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