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 -