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
Institutions:	CESifo
Subject:	probability forecasts \| serial correlation \| Brier score \| Brier skill score \| survey of professional forecasters

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Extent:	application/pdf
Series:	CESifo Working Paper Series.
Type of publication:	Book / Working Paper
Notes:	Number 5290
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:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011242158