Asymptotic Variance of Brier (Skill) Score in the Presence of Serial Correlation

We propose autocorrelation-robust asymptotic variances of the Brier score and Brier skill score, which are generally applicable in circumstances with weak serial correlation. An empirical application in macroeconomics underscores the importance of taking care of serial correlation. We find that the conventional variances are too conservative to account for the sampling variability in estimating the Brier (skill) score.

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Year of publication:	2015
Authors:	Lahiri, Kajal ; Yang, Liu
Publisher:	Munich : Center for Economic Studies and ifo Institute (CESifo)
Subject:	probability forecasts \| serial correlation \| Brier score \| Brier skill score \| survey of professional forecasters

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Series:	CESifo Working Paper ; 5290
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	821835823 [GVK] hdl:10419/110796 [Handle] RePec:ces:ceswps:_5290 [RePEc]
Classification:	C01 - Econometrics ; C12 - Hypothesis Testing ; C25 - Discrete Regression and Qualitative Choice Models ; C52 - Model Evaluation and Testing ; C53 - Forecasting and Other Model Applications
Source:	EconStor

Persistent link: https://www.econbiz.de/10010531771