Comparing the accuracy of density forecasts from competing models
UNSPECIFIED. (2004) Comparing the accuracy of density forecasts from competing models. JOURNAL OF FORECASTING, 23 (8). pp. 541-557. ISSN 0277-6693Full text not available from this repository.
Official URL: http://dx.doi.org/10.1002/for.930
A rapidly growing literature emphasizes the importance of evaluating the forecast accuracy of empirical models on the basis of density (as opposed to point) forecasting performance. We propose a test statistic for the null hypothesis that two competing models have equal density forecast accuracy. Monte Carlo simulations suggest that the test, which has a known limiting distribution, displays satisfactory size and power properties. The use of the test is illustrated with an application to exchange rate forecasting. Copyright (C) 2004 John Wiley Sons, Ltd.
|Item Type:||Journal Article|
|Subjects:||H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management
H Social Sciences > HD Industries. Land use. Labor
|Journal or Publication Title:||JOURNAL OF FORECASTING|
|Publisher:||JOHN WILEY & SONS LTD|
|Official Date:||December 2004|
|Number of Pages:||17|
|Page Range:||pp. 541-557|
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