A Bootstrap Approach for Generalized Autocontour Testing

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dc.contributor.author Gonçalves Mazzeu, Joao Henrique
dc.contributor.author González-Rivera, Gloria
dc.contributor.author Ruiz, Esther
dc.contributor.author Veiga, Helena
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Estadística
dc.date.accessioned 2016-12-13T12:02:46Z
dc.date.available 2016-12-13T12:02:46Z
dc.date.issued 2016-07
dc.identifier.issn 2387-0303
dc.identifier.uri http://hdl.handle.net/10016/23457
dc.description.abstract We propose an extension of the Generalized Autocontour (G-ACR) tests (González-Rivera and Sun, 2015) for one-step-ahead dynamic specifications of conditional densities in-sample and of forecast densities out-of-sample. The new tests are based on probability integral transforms (PITs) computed from bootstrap conditional densities that incorporate the parameter uncertainty without assuming any particular forecast error distribution. Consequently, the parametric specification of the conditional moments can be tested without relying on any particular error distribution. We show that the asymptotic distributions of the bootstrapped G-ACR (BG-ACR) tests are well approximated using standard asymptotic distributions. Furthermore, the proposed tests are easy to implement and are accompanied by graphical tools which provide suggestions about the potential misspecification. The results are illustrated by testing the dynamic specification of the Heterogenous autoregressive (HAR) model when fitted to the popular U.S. volatility index VIX.
dc.description.sponsorship Financial support from the Spanish Ministry of Education and Science, research project ECO2015-70331-C2-2-R (MINECO/FEDER) is acknowledged by the four authors.
dc.format.mimetype text/xml
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries UC3M Working papers. Statistics and Econometrics
dc.relation.ispartofseries 16-11
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.other Distribution Uncertainty
dc.subject.other Model Evaluation
dc.subject.other Parameter Uncertainty
dc.subject.other PIT
dc.title A Bootstrap Approach for Generalized Autocontour Testing
dc.type workingPaper
dc.rights.accessRights openAccess
dc.relation.projectID Gobierno de España. ECO2015-70331-C2-2-R
dc.type.version draft
dc.identifier.uxxi DT/0000001477
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