@inbook{399b122f880f4ea6b7d3e63fb0f400fc,
title = "Predictive inference under model misspecification",
abstract = "In this chapter we discuss model selection and predictive accuracy tests in the context of parameter and model uncertainty under recursive and rolling estimation schemes. We begin by summarizing some recent theoretical findings, with particular emphasis on the construction of valid bootstrap procedures for calculating the impact of parameter estimation error. We then discuss the Corradi and Swanson (2002) (CS) test of (non)linear out-of-sample Granger causality. Thereafter, we carry out a series of Monte Carlo experiments examining the properties of the CS and a variety of other related predictive accuracy and model selection type tests. Finally, we present the results of an empirical investigation of the marginal predictive content of money for income, in the spirit of Stock and Watson (1989), Swanson (1998) and Amato and Swanson (2001).",
keywords = "Block bootstrap, Forecasting, Model misspecification, Nonlinear causality, Parameter estimation error, Prediction, Recursive estimation scheme, Rolling estimation scheme",
author = "Armah, {Nii Ayi} and Swanson, {Norman R.}",
note = "Funding Information: We wish to thank the editors (David Rapach and Mark Wohar), an anonymous referee, Valentina Corradi, Jean-Marie Dufour, Silvia Gon{\c c}alves, Stephen Gordon, Clive Granger, Oliver Linton, Brendan McCabe, Antonio Mele, Andrew Patton, Rodney Strachan, Christian Schluter, Allan Timmerman, and seminar participants at Cornell University, the London School of Economics, Laval University, Queen Mary, University of London, CIREQ-Universite' de Montreal, the University of Liverpool, Southampton University, University of Virginia, 2004 Winter Meetings of the Econometric Society, and Bank of Canada for useful comments and suggestions on this research topic. Additionally, Swanson thanks the Rutgers University Research Council for financial support.",
year = "2008",
doi = "10.1016/S1574-8715(07)00205-9",
language = "English (US)",
isbn = "9780444529428",
series = "Frontiers of Economics and Globalization",
publisher = "Emerald Group Publishing Ltd.",
pages = "195--230",
booktitle = "Forecasting in the Presence of Structural Breaks and Model Uncertainty",
address = "United Kingdom",
}