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Evaluating the forecast densities of linear and non-linear models : Applications to output growth and unemployment
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Clements, Michael P. and Smith, Jeremy (2000) Evaluating the forecast densities of linear and non-linear models : Applications to output growth and unemployment. Journal of Forecasting, Volume 19 (Number 4). pp. 255-276. doi:10.1002/1099-131X(200007)19:4<255::AID-FOR773>3.0.CO;2-G ISSN 0277-6693.
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Official URL: http://dx.doi.org/10.1002/1099-131X(200007)19:4<25...
Abstract
In economics density forecasts are rarely available, and as a result attention has traditionally focused on point forecasts of the mean and the use of mean square error statistics to represent the loss function. In this paper we apply recently developed methods of forecast density evaluation to compare model-based density forecasts of US output growth and changes in the unemployment rate. Since one of the models is non-linear and characterized by a changing error variance, density evaluation may offer greater discrimination than evaluation based on the first moment. Copyright (C) 2000 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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Divisions: | Faculty of Social Sciences > Economics | ||||
Journal or Publication Title: | Journal of Forecasting | ||||
Publisher: | John Wiley & Sons Ltd. | ||||
ISSN: | 0277-6693 | ||||
Official Date: | 2000 | ||||
Dates: |
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Volume: | Volume 19 | ||||
Number: | Number 4 | ||||
Number of Pages: | 22 | ||||
Page Range: | pp. 255-276 | ||||
DOI: | 10.1002/1099-131X(200007)19:4<255::AID-FOR773>3.0.CO;2-G | ||||
Status: | Peer Reviewed | ||||
Publication Status: | Published |
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