UNSPECIFIED. (2003) An evaluation of tests of distributional forecasts. JOURNAL OF FORECASTING, 22 (6-7). pp. 447-455. ISSN 0277-6693

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Abstract

One popular method for testing the validity of a model's forecasts is to use the probability integral transforms (pits) of the forecasts and to test for departures from the dual hypotheses of independence and uniformity, with departures from uniformity tested using the Kolmogorov-Smirnov (KS) statistic. This paper investigates the power of five statistics (including the KS statistic) to reject uniformity of the pits in the presence of misspecification in the mean, variance, skewness or kurtosis of the forecast errors. The KS statistic has the lowest power of the five statistics considered and is always dominated by the Anderson and Darling statistic. Copyright (C) 2003 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:	September 2003
Volume:	22
Number:	6-7
Number of Pages:	9
Page Range:	pp. 447-455
Identification Number:	10.1002/for.876
Publication Status:	Published
URI:	http://wrap.warwick.ac.uk/id/eprint/9076

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