A sequential test for the specification of predictive densities
预测密度设定的序贯检验
We develop a specification test of predictive densities, based on the fact that the generalized residuals of correctly specified predictive density models are independent and identically distributed uniform. The proposed sequential test examines the hypotheses of serial independence and uniformity in two stages, wherein the first‐stage test of serial independence is robust to violation of uniformity. The approach of the data‐driven smooth test is employed to construct the…