Evaluating The Forecast of Densities of Linear and Non-Linear Models: Applications to Output Growth and Unemployment.

In economics density forecasts are rarely available, and as a result attention has traditionally focused on poit forecasts of the mean and the use of mean square error statistics to represent the loss function. We extend the methods of forecasts density evaluation in Diebold, Gunther and Tay (1997) to compare linear and non-linear model based forecasts of US out put growth and changes in the unemployment rate.

MoreLess

Year of publication:	1998
Authors:	Clements, M.P. ; Smith J.
Institutions:	Department of Economics, University of Warwick
Subject:	FORECASTS \| STATISTICS \| LINEAR MODELS

More details

Series:	The Warwick Economics Research Paper Series (TWERPS).
Type of publication:	Book / Working Paper
Notes:	19 pages
Classification:	C50 - Econometric Modeling. General ; C52 - Model Evaluation and Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005368667