𝔖 Bobbio Scriptorium
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Testing distributional assumptions: A GMM aproach

✍ Scribed by Christian Bontemps; Nour Meddahi


Book ID
112117293
Publisher
John Wiley and Sons
Year
2011
Tongue
English
Weight
288 KB
Volume
27
Category
Article
ISSN
0883-7252

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Testing Interval Forecasts: A GMM-Based
✍ Elena-Ivona Dumitrescu; Christophe Hurlin; Jaouad Madkour πŸ“‚ Article πŸ“… 2011 πŸ› John Wiley and Sons 🌐 English βš– 591 KB

## ABSTRACT This paper proposes a new evaluation framework for interval forecasts. Our model‐free test can be used to evaluate interval forecasts and high‐density regions, potentially discontinuous and/or asymmetric. Using a simple __J__‐statistic, based on the moments defined by the orthonormal po