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Evaluating density forecasts : forecast combinations, model mixtures, calibration and sharpness
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Mitchell, James and Wallis, Kenneth Frank (2010) Evaluating density forecasts : forecast combinations, model mixtures, calibration and sharpness. Journal of Applied Econometrics, Vol.26 (No.6). pp. 1023-1040. doi:10.1002/jae.1192 ISSN 0883-7252.
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Official URL: http://dx.doi.org/10.1002/jae.1192
Abstract
This paper reviews current density forecast evaluation procedures, and considers a proposal that such procedures be augmented by an assessment of 'sharpness'. This was motivated by an example in which some standard evaluation procedures using probability integral transforms cannot distinguish the ideal forecast from several competing forecasts. We show that this example has some unrealistic features from a time series forecasting perspective, and so provides insecure foundations for the argument that existing calibration procedures are inadequate in practice. Our alternative, more realistic example shows how relevant statistical methods, including information-based methods, provide the required discrimination between competing forecasts. We introduce a new test of density forecast efficiency. Copyright. (C) 2010 John Wiley & Sons, Ltd.
Item Type: | Journal Article | ||||
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Subjects: | H Social Sciences > HB Economic Theory | ||||
Divisions: | Faculty of Social Sciences > Economics | ||||
Journal or Publication Title: | Journal of Applied Econometrics | ||||
Publisher: | Wiley-Blackwell Publishing, Inc | ||||
ISSN: | 0883-7252 | ||||
Official Date: | 2010 | ||||
Dates: |
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Volume: | Vol.26 | ||||
Number: | No.6 | ||||
Page Range: | pp. 1023-1040 | ||||
DOI: | 10.1002/jae.1192 | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published | ||||
Access rights to Published version: | Restricted or Subscription Access |
Data sourced from Thomson Reuters' Web of Knowledge
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