TY  - JOUR
CY  - Cambridge
ID  - publications26041
UR  - http://tse-fr.eu/pub/32564
IS  - n° 1
A1  - Bontemps, Christian
N2  - This paper considers moment-based tests applied to estimated quantities. We propose a general class of transforms of moments to handle the parameter uncertainty problem. The construction requires only a linear correction that can be implemented in-sample and remains valid for some extended families of non-smooth moments. We reemphasize the attractiveness of working with robust moments, which lead to testing procedures that do not depend on the estimator. Furthermore, no correction is needed when considering the implied test statistic in the out-of-sample case. We apply our methodology to various examples with an emphasis on the backtesting of value-at-risk forecasts.
VL  - vol. 101
TI  - Moment-based tests under parameter uncertainty
AV  - public
EP  - 159
Y1  - 2019/03//
PB  - MIT Press : Harvard University Press,
JF  - Review of Economics and Statistics
KW  - moment-based tests
KW  - parameter uncertainty
KW  - out-of-sample
KW  - discrete distributions
KW  - value-at-risk
KW  - backtesting
SN  - 0034-6535
SP  - 146
ER  -