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Forecast encompassing tests and probability forecasts
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Clements, Michael P. and Harvey, David I. (2010) Forecast encompassing tests and probability forecasts. Journal of Applied Econometrics, Vol.25 (No.6). pp. 1028-1062. doi:10.1002/jae.1097 ISSN 0883-7252.
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Official URL: http://dx.doi.org/10.1002/jae.1097
Abstract
We consider tests of forecast encompassing for probability forecasts, for both quadratic and logarithmic scoring rules We propose test statistics for the null of forecast encompassing. present the limiting distributions of the test statistics. and investigate the impact of estimating the forecasting models' parameters on these distributions The small-sample performance is investigated, in terms of small numbers of forecasts and model estimation sample sizes We show the usefulness of the tests for the evaluation of recession probability forecasts from logit models with different leading indicators as explanatory variables, and for evaluating survey-based probability forecasts Copyright (C) 2010 John Wiley & Sons. Ltd
Item Type: | Journal Article | ||||
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Subjects: | H Social Sciences > HC Economic History and Conditions H Social Sciences |
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Divisions: | Faculty of Social Sciences > Economics | ||||
Journal or Publication Title: | Journal of Applied Econometrics | ||||
Publisher: | Wiley-Blackwell Publishing, Inc | ||||
ISSN: | 0883-7252 | ||||
Official Date: | September 2010 | ||||
Dates: |
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Volume: | Vol.25 | ||||
Number: | No.6 | ||||
Number of Pages: | 35 | ||||
Page Range: | pp. 1028-1062 | ||||
DOI: | 10.1002/jae.1097 | ||||
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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