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

We derive autocorrelation-robust asymptotic variances of the Brier score and Brier skill score, which are generally applicable in circumstances with weak serial correlation. A simulation experiment and an empirical application from macroeconomics underscore 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
Other Persons:	Yang, Liu (contributor)
Publisher:	[2015]: [S.l.] : SSRN
Subject:	Korrelation \| Correlation \| Schätztheorie \| Estimation theory \| Qualifikation \| Occupational qualification \| Zeitreihenanalyse \| Time series analysis \| Varianzanalyse \| Analysis of variance

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Extent:	1 Online-Ressource (18 p)
Series:	CESifo Working Paper Series ; No. 5290
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 1, 2015 erstellt
Other identifiers:	10.2139/ssrn.2593720 [DOI]
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:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013024358