Order Invariant Evaluation of Multivariate Density Forecasts

Jonas Dovern and Hans Manner

No 608, Working Papers from University of Heidelberg, Department of Economics

Abstract: We derive new tests for proper calibration of multivariate density forecasts based on Rosenblatt probability integral transforms. These tests have the advantage that they i) do not depend on the ordering of variables in the forecasting model, ii) are applicable to densities of arbitrary dimensions, and iii) have superior power relative to existing approaches. We furthermore develop adjusted tests that allow for estimated parameters and, consequently, can be used as in-sample specification tests. We demonstrate the problems of existing tests and how our new approaches can overcome those using Monte Carlo Simulation as well as two applications based on multivariate GARCH-based models for stock market returns and on a macroeconomic Bayesian vectorautoregressive model.

Keywords: density calibration; goodness-of-fit test; predictive density; Rosenblatt transformation (search for similar items in EconPapers)
Date: 2016-03-08
New Economics Papers: this item is included in nep-ecm and nep-for
Note: This paper is part of http://archiv.ub.uni-heidelberg.de/volltextserver/view/schriftenreihen/sr-3.html
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://nbn-resolving.de/urn/resolver.pl?urn=urn:nbn:de:bsz:16-heidok-203762 Frontdoor page on HeiDOK (text/html)
https://archiv.ub.uni-heidelberg.de/volltextserver ... anner_2016_dp608.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:awi:wpaper:0608

Access Statistics for this paper

More papers in Working Papers from University of Heidelberg, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Gabi Rauscher ( this e-mail address is bad, please contact ).