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. ISSN 0883-7252

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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
Subjects:	H Social Sciences > HC Economic History and Conditions H Social Sciences
Divisions:	Faculty of Social Sciences > Economics
Journal or Publication Title:	Journal of Applied Econometrics
Publisher:	Wiley-Blackwell Publishing, Inc
ISSN:	0883-7252
Date:	September 2010
Volume:	Vol.25
Number:	No.6
Number of Pages:	35
Page Range:	pp. 1028-1062
Identification Number:	10.1002/jae.1097
Status:	Peer Reviewed
Publication Status:	Published
Access rights to Published version:	Restricted or Subscription Access
URI:	http://wrap.warwick.ac.uk/id/eprint/4972

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