Testing Interval Forecasts: A GMM-Based Approach

By Dumitrescu Elena-Ivona, Hurlin Christophe, and Madkour Jaouad
Journal of Forecasting (2013)

  • Christophe Hurlin

    University of Orléans

    France

  • Elena-Ivona Dumitrescu

    University Paris Ouest

    France

Created

September 28, 2013

Last update

September 28, 2013

Software

Matlab

Ranking

48

Visits

3949

Downloads

275

Description

The goal of this code is to implement the evaluation framework of interval forecasts proposed in Dumitrescu, Hurlin and Madkour (2011). This is a set of three univariate tests (unconditional coverage J_UC, conditional coverage J_CC, and independence J_IND) that can be implemented with any dataset. Besides, the results of Christoffersen (1998)'s tests (LR_UC, LR_CC and LR_IND) are also reported. To run my codes, you need (i) the Indicator Series (1 - if the realization of the variable to be forecasted does not belong to the interval forecast, i.e. violation; 0 - if it is in the interval) (ii) Risk level (5% or 1%) (iii) Block size N=T/nn, where nn is chosen from (4;10;50) and T is the out-of-sample size (iv) Number of moment conditions for the GMM test (from 2 to 10).

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