E37 - Forecasting and Simulation: Models and Applications - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T05:37:15+00:00A Consistent Bootstrap Test for Conditional Density Functions with Time-Dependent Data
https://www.bankofcanada.ca/2001/12/working-paper-2001-21/
This paper describes a new test for evaluating conditional density functions that remains valid when the data are time-dependent and that is therefore applicable to forecasting problems. We show that the test statistic is asymptotically distributed standard normal under the null hypothesis, and diverges to infinity when the null hypothesis is false.2001-12-01T10:34:02+00:00enA Consistent Bootstrap Test for Conditional Density Functions with Time-Dependent Data2001-12-01Econometric and statistical methodsWorking Paper 2001-21 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp01-21.pdfA Consistent Bootstrap Test for Conditional Density Functions with Time-Dependent DataFuchun LiGreg TkaczDecember 2001CC1C12C15EE3E37