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Comparing the accuracy of density forecasts from competing models
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UNSPECIFIED. (2004) Comparing the accuracy of density forecasts from competing models. JOURNAL OF FORECASTING, 23 (8). pp. 541-557. ISSN 0277-6693
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Official URL: http://dx.doi.org/10.1002/for.930
Abstract
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 |
| ISSN: | 0277-6693 |
| Date: | December 2004 |
| Volume: | 23 |
| Number: | 8 |
| Number of Pages: | 17 |
| Page Range: | pp. 541-557 |
| Identification Number: | 10.1002/for.930 |
| Publication Status: | Published |
| URI: | http://wrap.warwick.ac.uk/id/eprint/7520 |
Data sourced from Thomson Reuters' Web of Knowledge
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