Assessing point forecast accuracy by stochastic error distance

DOI10.1080/07474938.2017.1307247MaRDI QIDQ5864637zbMATH OpenOpenAlexFDO

Authors Francis X. Diebold, M. Shin

Publication date 8 June 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL http://www.nber.org/papers/w22516.pdf

zbMATH Keywords

absolute error lossforecast accuracyforecast evaluationquadratic losssquared error loss

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Recommendations

• Assessing point forecast accuracy by stochastic loss distance
• Making and evaluating point forecasts
• Percentage and relative error measures in forecast evaluation
• Mincer–Zarnowitz quantile and expectile regressions for forecast evaluations under aysmmetric loss functions
• Testing forecast accuracy

Cites work

• A compendium to information theory in economics and econometrics
• A multivariate extension of Hoeffding's lemma
• Energy statistics: a class of statistics based on distances
• Estimation and Testing of Forecast Rationality under Flexible Loss
• Nonparametric and semiparametric regressions subject to monotonicity constraints: estimation and forecasting
• Quantile regression.
• Strictly Proper Scoring Rules, Prediction, and Estimation
• Testing Forecast Optimality Under Unknown Loss

Cited in

(5)

• Probabilistic sensitivity measures as information value
• Assessing prediction error at interpolation and extrapolation points
• The alpha-mixture of survival functions
• Ranking Forecasts by Stochastic Error Distance, Information and Reliability Measures
• On the aggregation of probability assessments: regularized mixtures of predictive densities for eurozone inflation and real interest rates

Describes a project that uses

Uses Software

• energy

This page was built for publication: Assessing point forecast accuracy by stochastic error distance

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5864637)