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Alternative Tests for Correct Specification of Conditional Predictive Densities

42/42 checkable references clean · checked 2026-07-26

Every reference with a DOI in the deposited reference list resolved to a known work in Crossref or DataCite at the dated check, and none carried a retraction, withdrawal, or removal notice.

5 without a DOI — not checked. A reference deposited without a DOI is never matched by title or guessed at; it stays outside the checked set, and this line discloses that.

The 42 checked references that resolve

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Density Forecasts With Midas Models

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Comparing Density Forecasts via Weighted Likelihood Ratio Tests

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Do macro variables, asset markets, or surveys forecast inflation better?

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Testing Parametric Conditional Distributions of Dynamic Models

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Tests for Skewness, Kurtosis, and Normality for Time Series Data

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Testing Density Forecasts, With Applications to Risk Management

resolves10.1016/j.jeconom.2013.04.009

Time-varying combinations of predictive densities using nonlinear filtering

resolves10.1002/jae.1250

Testing distributional assumptions: A GMM aproach

resolves10.1198/jbes.2010.09248

Real-Time Density Forecasts From Bayesian Vector Autoregressions With Stochastic Volatility

resolves10.1111/j.1468-0297.2004.00246.x

Evaluating the Bank of England Density Forecasts of Inflation

resolves10.1016/j.jeconom.2005.06.013

Bootstrap conditional distribution tests in the presence of dynamic misspecification

resolves10.1016/s1574-0706(05)01005-0

Chapter 5 Predictive Density Evaluation

resolves10.1016/j.jeconom.2005.07.026

Predictive density and conditional confidence interval accuracy tests

resolves10.1016/s0304-4076(01)00072-0

A real-time data set for macroeconomists

resolves10.1093/0198774036.001.0001

Stochastic Limit Theory

resolves10.1016/j.jeconom.2011.04.001

Likelihood-based scoring rules for comparing density forecasts in tails

resolves10.2307/2527342

Evaluating Density Forecasts with Applications to Financial Risk Management

resolves10.3386/w6228

Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters

resolves10.1137/1.9781611970586

Distribution Theory for Tests Based on the Sample Distribution Function

resolves10.1353/eca.2010.0015

How Useful Are Estimated DSGE Model Forecasts for Central Bankers?

resolves10.1002/jae.1175

A comparison of forecast performance between federal reserve staff forecasts, simple reduced‐form models, and a DSGE model

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Economic Forecasting

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Selecting a Nonlinear Time Series Model using Weighted Tests of Equal Forecast Accuracy*

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Tests of Conditional Predictive Ability

resolves10.1198/jbes.2010.08144

Autocontours: Dynamic Specification Testing

resolves10.1016/j.ijforecast.2011.06.001

Autocontour-based evaluation of multivariate predictive densities

resolves10.1016/j.ijforecast.2014.03.019

Generalized autocontours: Evaluation of multivariate density models

resolves10.1108/s0731-9053(2013)0000031002

Do DSGE Models Forecast More Accurately Out-Of-Sample than VAR Models?

resolves10.1093/rfs/hhh006

Nonparametric Specification Testing for Continuous-Time Models with Applications to Term Structure of Interest Rates

resolves10.1016/j.jeconom.2006.11.003

Can the random walk model be beaten in out-of-sample density forecasts? Evidence from intraday foreign exchange rates

resolves10.1017/s0266466601171057

TESTING FOR DISTRIBUTIONAL CHANGE IN TIME SERIES

resolves10.1080/07350015.2012.693850

Out-of-Sample Forecast Tests Robust to the Choice of Window Size

resolves10.1002/jae.1162

Combining forecast densities from VARs with uncertain instabilities

resolves10.1080/07350015.2014.948175

Evaluating the Calibration of Multi-Step-Ahead Density Forecasts Using Raw Moments

resolves10.2307/1913610

A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

resolves10.1016/0013-4694(74)90037-6

Comments on estimations and tests of EEG amplitude distributions

resolves10.1515/snde-2012-0088

Forecast densities for economic aggregates from disaggregate ensembles

resolves10.1002/jae.2440

Forecast Rationality Tests in the Presence of Instabilities, with Applications to Federal Reserve and Survey Forecasts

resolves10.1137/1.9780898719017

Empirical Processes with Applications to Statistics

resolves10.1257/aer.97.3.586

Shocks and Frictions in US Business Cycles: A Bayesian DSGE Approach

resolves10.1214/aoms/1177730256

Table for Estimating the Goodness of Fit of Empirical Distributions

resolves10.1080/01621459.1978.10480116

Modification of the Kolmogorov-Smirnov Statistic for Use with Correlated Data

The 5 references without a DOI — listed, not checked

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no DOI — not checkedref45

no DOI — not checkedref46

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