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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. doi:10.1002/for.930 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 | ||||
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Subjects: | H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management H Social Sciences > HD Industries. Land use. Labor |
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Journal or Publication Title: | JOURNAL OF FORECASTING | ||||
Publisher: | JOHN WILEY & SONS LTD | ||||
ISSN: | 0277-6693 | ||||
Official Date: | December 2004 | ||||
Dates: |
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Volume: | 23 | ||||
Number: | 8 | ||||
Number of Pages: | 17 | ||||
Page Range: | pp. 541-557 | ||||
DOI: | 10.1002/for.930 | ||||
Publication Status: | Published |
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