Nonparametric Bootstrap Procedures for Predictive Inference Based on Recursive Estimation Schemes

By Valentina Corradi, Norman R. Swanson. 2007

99 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/33aaa2d014b712998a5fa23796a9702107598d22

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In Economics and Econometrics

Citations in the corpus

FORECAST EVALUATION (background): “Conditions for the validity of the bootstrap are established in Corradi and Swanson (2005).”
Information in the Revision Process of Real-Time Datasets (2008, unknown): “Valid asymptotic critical values are instead obtained via a bootstrap procedure based on resampling functions of the entire history of available information, along the lines of Goncalves and White (2004), and allowing for recursive estimation schemes, as in Corradi and Swanson (2007).”
VARMA versus VAR for Macroeconomic Forecasting (2008, background): “There have been significant advances in the theory of testing predictive ability (examples include Diebold and Mariano 1995; West 1996; Clark and McCracken 2001; Corradi and Swanson 2002; Giacomini and White 2006).”
Reality Checks and Comparisons of Nested Predictive Models (2012, background): “Corradi and Swanson ( 2007 ) provided important modifications that permit situations in which parameter estimation error enters the asymptotic distribution.”
A Test for Superior Predictive Ability (2005, background): “…tests, and other extensions were made by Harvey et al. (1998), Chao, Corradi, and Swanson (2001), Clark and McCracken (2001), West (2001), and Corradi and Swanson (2002), who considered tests for forecast encompassing, and by Corradi, Swanson, and Olivetti (2001), who compared forecasting…”
Backtesting Parametric Value-at-Risk With Estimation Risk (2010, background): “…is difficult, but different theories based on heteroscedasticity and autocorrelation consistent (HAC) estimations using mixing conditions (see McCracken 2000) or bootstrap methods for correct inference (see, e.g., Corradi and Swanson 2007) are attractive alternatives that deserve further research.”
Approximately Normal Tests for Equal Predictive Accuracy in Nested Models (2007, background): “Our findings are consistent with Clark and McCracken’s (2001, 2005a) results for their Enc-t statistic.9 As in Clark and McCracken (2001, 2005a), Clark and West (2005) and Corradi and Swanson (2005), MSPE-normal is seriously undersized.”
ROBUST BACKTESTING TESTS FOR VALUE-AT-RISK MODELS (2011, methodology): “First, with subsampling one does not need to estimate any score or influence function, whereas in block bootstrap such estimation is generally needed, as shown in Corradi and Swanson (2007) with the recursive scheme.”
Advances in Forecast Evaluation (2011, unknown): “Before providing this result, some additional notation and assumptions are needed.5 4Studies such as Corradi and Swanson (2007) have developed bootstrap-based inference approaches that can be applied with tests that have power against generic alternatives or with tests applied to forecasts from…”