Mitchell, James and Hall, Stephen G. (2005) Evaluating, comparing and combining density forecasts using the KLIC with an application to the Bank of England and NIESR 'Fan' Charts of Inflation. Oxford Bulletin of Economics and Statistics, 67 (Supplement 1). pp. 995-1033. doi:10.1111/j.1468-0084.2005.00149.x ISSN 0305-9049.

Research output not available from this repository.

Request-a-Copy directly from author or use local Library Get it For Me service.

Request Changes to record.

Abstract

This paper proposes and analyses the Kullback–Leibler information criterion (KLIC) as a unified statistical tool to evaluate, compare and combine density forecasts. Use of the KLIC is particularly attractive, as well as operationally convenient, given its equivalence with the widely used Berkowitz likelihood ratio test for the evaluation of individual density forecasts that exploits the probability integral transforms. Parallels with the comparison and combination of point forecasts are made. This and related Monte Carlo experiments help draw out properties of combined density forecasts. We illustrate the uses of the KLIC in an application to two widely used published density forecasts for UK inflation, namely the Bank of England and NIESR ‘fan’ charts.

Item Type:	Journal Article
Divisions:	Faculty of Social Sciences > Warwick Business School
Journal or Publication Title:	Oxford Bulletin of Economics and Statistics
Publisher:	Wiley-Blackwell Publishing, Inc
ISSN:	0305-9049
Official Date:	2005
Dates:	Date Event 2005 Published
Volume:	67
Number:	Supplement 1
Page Range:	pp. 995-1033
DOI:	10.1111/j.1468-0084.2005.00149.x
Status:	Peer Reviewed
Publication Status:	Published
Access rights to Published version:	Restricted or Subscription Access

Request changes or add full text files to a record

Repository staff actions (login required)

View Item