Moment tests for density forecast evalua
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Yi-Ting Chen
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Article
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2010
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John Wiley and Sons
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English
β 507 KB
## Abstract Density forecast (DF) possesses appealing properties when it is correctly specified for the true conditional distribution. Although a number of parametric specification tests have been introduced for the DF evaluation (DFE) in the parameterβfree context, econometric DF models are typica