Predictive Inference Based on Markov Chain Monte Carlo Output
Author
Abstract
Suggested Citation
DOI: 10.1111/insr.12405
Download full text from publisher
References listed on IDEAS
- Raffaella Giacomini & Halbert White, 2006.
"Tests of Conditional Predictive Ability,"
Econometrica, Econometric Society, vol. 74(6), pages 1545-1578, November.
- Raffaella Giacomini & Halbert White, 2003. "Tests of conditional predictive ability," Boston College Working Papers in Economics 572, Boston College Department of Economics.
- Giacomini, Raffaella & White, Halbert, 2003. "Tests of Conditional Predictive Ability," University of California at San Diego, Economics Working Paper Series qt5jk0j5jh, Department of Economics, UC San Diego.
- Raffaella Giacomini & Halbert White, 2003. "Tests of Conditional Predictive Ability," Econometrics 0308001, University Library of Munich, Germany.
- James E. Matheson & Robert L. Winkler, 1976. "Scoring Rules for Continuous Probability Distributions," Management Science, INFORMS, vol. 22(10), pages 1087-1096, June.
- Greenberg,Edward, 2014.
"Introduction to Bayesian Econometrics,"
Cambridge Books,
Cambridge University Press, number 9781107436770, November.
- Greenberg,Edward, 2013. "Introduction to Bayesian Econometrics," Cambridge Books, Cambridge University Press, number 9781107015319, November.
- Anders Warne & Günter Coenen & Kai Christoffel, 2017.
"Marginalized Predictive Likelihood Comparisons of Linear Gaussian State‐Space Models with Applications to DSGE, DSGE‐VAR, and VAR Models,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(1), pages 103-119, January.
- Warne, Anders & Coenen, Günter & Christoffel, Kai, 2014. "Marginalized predictive likelihood comparisons of linear Gaussian state-space models with applications to DSGE, DSGEVAR, and VAR models," CFS Working Paper Series 478, Center for Financial Studies (CFS).
- Diebold, Francis X & Mariano, Roberto S, 2002.
"Comparing Predictive Accuracy,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-144, January.
- Diebold, Francis X & Mariano, Roberto S, 1995. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 253-263, July.
- Francis X. Diebold & Roberto S. Mariano, 1994. "Comparing Predictive Accuracy," NBER Technical Working Papers 0169, National Bureau of Economic Research, Inc.
- Daniel F. Waggoner & Tao Zha, 1999.
"Conditional Forecasts In Dynamic Multivariate Models,"
The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 639-651, November.
- Daniel F. Waggoner & Tao Zha, 1998. "Conditional forecasts in dynamic multivariate models," FRB Atlanta Working Paper 98-22, Federal Reserve Bank of Atlanta.
- Diebold, Francis X & Gunther, Todd A & Tay, Anthony S, 1998. "Evaluating Density Forecasts with Applications to Financial Risk Management," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 863-883, November.
- Amisano, Gianni & Giacomini, Raffaella, 2007.
"Comparing Density Forecasts via Weighted Likelihood Ratio Tests,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 25, pages 177-190, April.
- Gianni Amisano & Raffaella Giacomini, 2005. "Comparing Density Forecsts via Weighted Likelihood Ratio Tests," Working Papers ubs0504, University of Brescia, Department of Economics.
- Clark, Todd & McCracken, Michael, 2013.
"Advances in Forecast Evaluation,"
Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 1107-1201,
Elsevier.
- Todd E. Clark & Michael W. McCracken, 2011. "Advances in forecast evaluation," Working Papers (Old Series) 1120, Federal Reserve Bank of Cleveland.
- Todd E. Clark & Michael W. McCracken, 2011. "Advances in forecast evaluation," Working Papers 2011-025, Federal Reserve Bank of St. Louis.
- Emir Shuford & Arthur Albert & H. Edward Massengill, 1966. "Admissible probability measurement procedures," Psychometrika, Springer;The Psychometric Society, vol. 31(2), pages 125-145, June.
- David J. Spiegelhalter & Nicola G. Best & Bradley P. Carlin & Angelika Van Der Linde, 2002. "Bayesian measures of model complexity and fit," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 64(4), pages 583-639, October.
- Tilmann Gneiting & Larissa Stanberry & Eric Grimit & Leonhard Held & Nicholas Johnson, 2008. "Rejoinder on: Assessing probabilistic forecasts of multivariate quantities, with an application to ensemble predictions of surface winds," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 17(2), pages 256-264, August.
- Vaart,A. W. van der, 2000. "Asymptotic Statistics," Cambridge Books, Cambridge University Press, number 9780521784504, November.
- Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-384, March.
- Fabian Krüger & Todd E. Clark & Francesco Ravazzolo, 2017.
"Using Entropic Tilting to Combine BVAR Forecasts With External Nowcasts,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(3), pages 470-485, July.
- Fabian Kr ger & Todd E. Clark & Francesco Ravazzolo, 2015. "Using Entropic Tilting to Combine BVAR Forecasts with External Nowcasts," Working Papers No 8/2015, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Krüger, Fabian & Clark, Todd E. & Ravazzolo, Francesco, 2015. "Using Entropic Tilting to Combine BVAR Forecasts with External Nowcasts," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113077, Verein für Socialpolitik / German Economic Association.
- Todd E. Clark & Fabian Krueger & Francesco Ravazzolo, 2015. "Using Entropic Tilting to Combine BVAR Forecasts with External Nowcasts," Working Papers (Old Series) 1439, Federal Reserve Bank of Cleveland.
- Philip A. White & Alan E. Gelfand & Eliane R. Rodrigues & Guadalupe Tzintzun, 2019. "Pollution state modelling for Mexico City," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 182(3), pages 1039-1060, June.
- Tilmann Gneiting & Larissa Stanberry & Eric Grimit & Leonhard Held & Nicholas Johnson, 2008. "Assessing probabilistic forecasts of multivariate quantities, with an application to ensemble predictions of surface winds," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 17(2), pages 211-235, August.
- Alison L. Gibbs & Francis Edward Su, 2002. "On Choosing and Bounding Probability Metrics," International Statistical Review, International Statistical Institute, vol. 70(3), pages 419-435, December.
- Hansen, Bruce E., 2008. "Uniform Convergence Rates For Kernel Estimation With Dependent Data," Econometric Theory, Cambridge University Press, vol. 24(3), pages 726-748, June.
- Jones, M. C., 1991. "On correcting for variance inflation in kernel density estimation," Computational Statistics & Data Analysis, Elsevier, vol. 11(1), pages 3-15, January.
- Little, Roderick J., 2006. "Calibrated Bayes: A Bayes/Frequentist Roadmap," The American Statistician, American Statistical Association, vol. 60, pages 213-223, August.
- Tilmann Gneiting & Roopesh Ranjan, 2011. "Comparing Density Forecasts Using Threshold- and Quantile-Weighted Scoring Rules," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 29(3), pages 411-422, July.
- Todd E. Clark & Francesco Ravazzolo, 2015. "Macroeconomic Forecasting Performance under Alternative Specifications of Time‐Varying Volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 30(4), pages 551-575, June.
- Claudia Czado & Tilmann Gneiting & Leonhard Held, 2009. "Predictive Model Assessment for Count Data," Biometrics, The International Biometric Society, vol. 65(4), pages 1254-1261, December.
- Gneiting, Tilmann & Raftery, Adrian E., 2007. "Strictly Proper Scoring Rules, Prediction, and Estimation," Journal of the American Statistical Association, American Statistical Association, vol. 102, pages 359-378, March.
- Liebscher, Eckhard, 1996. "Strong convergence of sums of [alpha]-mixing random variables with applications to density estimation," Stochastic Processes and their Applications, Elsevier, vol. 65(1), pages 69-80, December.
- David J. Spiegelhalter & Nicola G. Best & Bradley P. Carlin & Angelika Linde, 2014. "The deviance information criterion: 12 years on," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 76(3), pages 485-493, June.
- Gneiting, Tilmann & Ranjan, Roopesh, 2011. "Comparing Density Forecasts Using Threshold- and Quantile-Weighted Scoring Rules," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(3), pages 411-422.
- G. Elliott & C. Granger & A. Timmermann (ed.), 2013. "Handbook of Economic Forecasting," Handbook of Economic Forecasting, Elsevier, edition 1, volume 2, number 2.
- David Bolin & Jonas Wallin, 2020. "Multivariate type G Matérn stochastic partial differential equation random fields," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 82(1), pages 215-239, February.
- M. Sköld & G. O. Roberts, 2003. "Density Estimation for the Metropolis–Hastings Algorithm," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 30(4), pages 699-718, December.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- James Mitchell & Aubrey Poon & Dan Zhu, 2024.
"Constructing density forecasts from quantile regressions: Multimodality in macrofinancial dynamics,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(5), pages 790-812, August.
- James Mitchell & Aubrey Poon & Dan Zhu, 2022. "Constructing Density Forecasts from Quantile Regressions: Multimodality in Macro-Financial Dynamics," Working Papers 22-12R, Federal Reserve Bank of Cleveland, revised 11 Apr 2023.
- Onno Kleen, 2024. "Scaling and measurement error sensitivity of scoring rules for distribution forecasts," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(5), pages 833-849, August.
- Malte Knuppel & Fabian Kruger & Marc-Oliver Pohle, 2022.
"Score-based calibration testing for multivariate forecast distributions,"
Papers
2211.16362, arXiv.org, revised Dec 2023.
- Knüppel, Malte & Krüger, Fabian & Pohle, Marc-Oliver, 2022. "Score-based calibration testing for multivariate forecast distributions," Discussion Papers 50/2022, Deutsche Bundesbank.
- Claudio Heinrich‐Mertsching & Thordis L. Thorarinsdottir & Peter Guttorp & Max Schneider, 2024. "Validation of point process predictions with proper scoring rules," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 51(4), pages 1533-1566, December.
- Bobeica, Elena & Hartwig, Benny, 2023. "The COVID-19 shock and challenges for inflation modelling," International Journal of Forecasting, Elsevier, vol. 39(1), pages 519-539.
- Peter McAdam & Anders Warne, 2024.
"Density forecast combinations: The real‐time dimension,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(5), pages 1153-1172, August.
- McAdam, Peter & Warne, Anders, 2020. "Density forecast combinations: the real-time dimension," Working Paper Series 2378, European Central Bank.
- Warne, Anders, 2023. "DSGE model forecasting: rational expectations vs. adaptive learning," Working Paper Series 2768, European Central Bank.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Magnus Reif, 2020. "Macroeconomics, Nonlinearities, and the Business Cycle," ifo Beiträge zur Wirtschaftsforschung, ifo Institute - Leibniz Institute for Economic Research at the University of Munich, number 87.
- Petropoulos, Fotios & Apiletti, Daniele & Assimakopoulos, Vassilios & Babai, Mohamed Zied & Barrow, Devon K. & Ben Taieb, Souhaib & Bergmeir, Christoph & Bessa, Ricardo J. & Bijak, Jakub & Boylan, Joh, 2022.
"Forecasting: theory and practice,"
International Journal of Forecasting, Elsevier, vol. 38(3), pages 705-871.
- Fotios Petropoulos & Daniele Apiletti & Vassilios Assimakopoulos & Mohamed Zied Babai & Devon K. Barrow & Souhaib Ben Taieb & Christoph Bergmeir & Ricardo J. Bessa & Jakub Bijak & John E. Boylan & Jet, 2020. "Forecasting: theory and practice," Papers 2012.03854, arXiv.org, revised Jan 2022.
- Alexander, Carol & Han, Yang & Meng, Xiaochun, 2023. "Static and dynamic models for multivariate distribution forecasts: Proper scoring rule tests of factor-quantile versus multivariate GARCH models," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1078-1096.
- Barbara Rossi, 2019.
"Forecasting in the presence of instabilities: How do we know whether models predict well and how to improve them,"
Economics Working Papers
1711, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2021.
- Barbara Rossi, 2019. "Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them," Working Papers 1162, Barcelona School of Economics.
- Rossi, Barbara, 2020. "Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them," CEPR Discussion Papers 14472, C.E.P.R. Discussion Papers.
- Fabian Krüger & Todd E. Clark & Francesco Ravazzolo, 2017.
"Using Entropic Tilting to Combine BVAR Forecasts With External Nowcasts,"
Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(3), pages 470-485, July.
- Fabian Kr ger & Todd E. Clark & Francesco Ravazzolo, 2015. "Using Entropic Tilting to Combine BVAR Forecasts with External Nowcasts," Working Papers No 8/2015, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Todd E. Clark & Fabian Krueger & Francesco Ravazzolo, 2015. "Using Entropic Tilting to Combine BVAR Forecasts with External Nowcasts," Working Papers (Old Series) 1439, Federal Reserve Bank of Cleveland.
- Krüger, Fabian & Clark, Todd E. & Ravazzolo, Francesco, 2015. "Using Entropic Tilting to Combine BVAR Forecasts with External Nowcasts," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 113077, Verein für Socialpolitik / German Economic Association.
- Markus Heinrich & Magnus Reif, 2018. "Forecasting using mixed-frequency VARs with time-varying parameters," ifo Working Paper Series 273, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
- Warne, Anders, 2023. "DSGE model forecasting: rational expectations vs. adaptive learning," Working Paper Series 2768, European Central Bank.
- Berg, Tim O. & Henzel, Steffen R., 2015.
"Point and density forecasts for the euro area using Bayesian VARs,"
International Journal of Forecasting, Elsevier, vol. 31(4), pages 1067-1095.
- Berg, Tim Oliver & Henzel, Steffen, 2013. "Point and Density Forecasts for the Euro Area Using Many Predictors: Are Large BVARs Really Superior?," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79783, Verein für Socialpolitik / German Economic Association.
- Tim Oliver Berg & Steffen Henzel, 2013. "Point and Density Forecasts for the Euro Area Using Many Predictors: Are Large BVARs Really Superior?," ifo Working Paper Series 155, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
- Tim Oliver Berg & Steffen Henzel, 2014. "Point and Density Forecasts for the Euro Area Using Bayesian VARs," CESifo Working Paper Series 4711, CESifo.
- Delle Monache, Davide & Petrella, Ivan, 2017.
"Adaptive models and heavy tails with an application to inflation forecasting,"
International Journal of Forecasting, Elsevier, vol. 33(2), pages 482-501.
- Davide Delle Monache & Ivan Petrella, 2016. "Adaptive models and heavy tails with an application to inflation forecasting," BCAM Working Papers 1603, Birkbeck Centre for Applied Macroeconomics.
- Delle Monache, Davide & Petrella, Ivan, 2016. "Adaptive models and heavy tails with an application to inflation forecasting," MPRA Paper 75424, University Library of Munich, Germany.
- Reif Magnus, 2021.
"Macroeconomic uncertainty and forecasting macroeconomic aggregates,"
Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 25(2), pages 1-20, April.
- Magnus Reif, 2018. "Macroeconomic Uncertainty and Forecasting Macroeconomic Aggregates," ifo Working Paper Series 265, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
- Jie Cheng, 2024. "Evaluating Density Forecasts Using Weighted Multivariate Scores in a Risk Management Context," Computational Economics, Springer;Society for Computational Economics, vol. 64(6), pages 3617-3643, December.
- Peter McAdam & Anders Warne, 2024.
"Density forecast combinations: The real‐time dimension,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(5), pages 1153-1172, August.
- McAdam, Peter & Warne, Anders, 2020. "Density forecast combinations: the real-time dimension," Working Paper Series 2378, European Central Bank.
- Werner Ehm & Tilmann Gneiting & Alexander Jordan & Fabian Krüger, 2016. "Of quantiles and expectiles: consistent scoring functions, Choquet representations and forecast rankings," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 78(3), pages 505-562, June.
- Allen, Sam & Koh, Jonathan & Segers, Johan & Ziegel, Johanna, 2024. "Tail calibration of probabilistic forecasts," LIDAM Discussion Papers ISBA 2024018, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Diks, Cees & Fang, Hao, 2020. "Comparing density forecasts in a risk management context," International Journal of Forecasting, Elsevier, vol. 36(2), pages 531-551.
- Tallman, Ellis W. & Zaman, Saeed, 2020.
"Combining survey long-run forecasts and nowcasts with BVAR forecasts using relative entropy,"
International Journal of Forecasting, Elsevier, vol. 36(2), pages 373-398.
- Ellis W. Tallman & Saeed Zaman, 2018. "Combining Survey Long-Run Forecasts and Nowcasts with BVAR Forecasts Using Relative Entropy," Working Papers (Old Series) 1809, Federal Reserve Bank of Cleveland.
- Onno Kleen, 2024. "Scaling and measurement error sensitivity of scoring rules for distribution forecasts," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(5), pages 833-849, August.
- C. Alexander & M. Coulon & Y. Han & X. Meng, 2024.
"Evaluating the discrimination ability of proper multi-variate scoring rules,"
Annals of Operations Research, Springer, vol. 334(1), pages 857-883, March.
- Carol Alexander & Michael Coulon & Yang Han & Xiaochun Meng, 2021. "Evaluating the Discrimination Ability of Proper Multivariate Scoring Rules," Papers 2101.12693, arXiv.org.
- Angelica Gianfreda & Francesco Ravazzolo & Luca Rossini, 2023. "Large Time‐Varying Volatility Models for Hourly Electricity Prices," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(3), pages 545-573, June.
- Davide Pettenuzzo & Francesco Ravazzolo, 2016.
"Optimal Portfolio Choice Under Decision‐Based Model Combinations,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(7), pages 1312-1332, November.
- Davide Pettenuzzo & Francesco Ravazzolo, 2014. "Optimal Portfolio Choice under Decision-Based Model Combinations," Working Papers 80, Brandeis University, Department of Economics and International Business School.
- Davide Pettenuzzo & Francesco Ravazzolo, 2015. "Optimal Portfolio Choice under Decision-Based Model Combinations," Working Papers No 9/2015, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Davide Pettenuzzo & Francesco Ravazzolo, 2014. "Optimal portfolio choice under decision-based model combinations," Working Paper 2014/15, Norges Bank.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:istatr:v:89:y:2021:i:2:p:274-301. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/isiiinl.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.