Assessing Point Forecast Accuracy by Stochastic Error Distance
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- Francis X. Diebold & Minchul Shin, 2017. "Assessing point forecast accuracy by stochastic error distance," Econometric Reviews, Taylor & Francis Journals, vol. 36(6-9), pages 588-598, October.
- Francis X. Diebold & Minchul Shin, 2016. "Assessing Point Forecast Accuracy by Stochastic Error Distance," NBER Working Papers 22516, National Bureau of Economic Research, Inc.
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Cited by:
- Borgonovo, Emanuele & Hazen, Gordon B. & Jose, Victor Richmond R. & Plischke, Elmar, 2021. "Probabilistic sensitivity measures as information value," European Journal of Operational Research, Elsevier, vol. 289(2), pages 595-610.
- Diebold, Francis X. & Shin, Minchul & Zhang, Boyuan, 2023.
"On the aggregation of probability assessments: Regularized mixtures of predictive densities for Eurozone inflation and real interest rates,"
Journal of Econometrics, Elsevier, vol. 237(2).
- Francis X. Diebold & Minchul Shin & Boyuan Zhang, 2020. "On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates," Papers 2012.11649, arXiv.org, revised Jun 2022.
- Francis X. Diebold & Minchul Shin & Boyuan Zhang, 2022. "On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates," NBER Working Papers 29635, National Bureau of Economic Research, Inc.
- Francis X. Diebold & Minchul Shin & Boyuan Zhang, 2021. "On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone Inflation and Real Interest Rates," Working Papers 21-06, Federal Reserve Bank of Philadelphia.
- Francis X. Diebold & Minchul Shin & Boyuan Zhang, 2021. "On the Aggregation of Probability Assessments: Regularized Mixtures of Predictive Densities for Eurozone In?ation and Real Interest Rates," PIER Working Paper Archive 21-002, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Diebold, Francis X. & Shin, Minchul, 2015. "Assessing point forecast accuracy by stochastic loss distance," Economics Letters, Elsevier, vol. 130(C), pages 37-38.
- Emilian Dobrescu, 2014. "Attempting to Quantify the Accuracy of Complex Macroeconomic Forecasts," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 5-21, December.
- Tomás Marinozzi, 2023. "Forecasting Inflation in Argentina: A Probabilistic Approach," Ensayos Económicos, Central Bank of Argentina, Economic Research Department, vol. 1(81), pages 81-110, May.
- Jin, Sainan & Corradi, Valentina & Swanson, Norman R., 2017.
"Robust Forecast Comparison,"
Econometric Theory, Cambridge University Press, vol. 33(6), pages 1306-1351, December.
- Sainan Jin & Valentina Corradi & Norman Swanson, 2015. "Robust Forecast Comparison," Departmental Working Papers 201502, Rutgers University, Department of Economics.
- Valentina Corradi & Sainan Jin & Norman R. Swanson, 2023. "Robust forecast superiority testing with an application to assessing pools of expert forecasters," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(4), pages 596-622, June.
- Hiroyuki Kawakatsu, 2020. "Recovering Yield Curves from Dynamic Term Structure Models with Time-Varying Factors," Stats, MDPI, vol. 3(3), pages 1-46, August.
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More about this item
Keywords
Forecast accuracy; forecast evaluation; absolute-error loss; quadratic loss; squared-error loss;All these keywords.
JEL classification:
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2014-12-08 (Econometrics)
- NEP-ETS-2014-12-08 (Econometric Time Series)
- NEP-FOR-2014-12-08 (Forecasting)
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