Assessing point forecast accuracy by stochastic loss distance

DOI10.1016/J.ECONLET.2015.02.018MaRDI QIDQ500526zbMATH OpenOpenAlexFDO

Authors M. Shin, Francis X. Diebold

Publication date 5 October 2015

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2015.02.018

zbMATH Keywords

absolute-error lossexpected lossforecast evaluationforecast rankingquadratic losssquared-error loss

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

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Cites work

• Assessing point forecast accuracy by stochastic loss distance
• Consistent Testing for Stochastic Dominance under General Sampling Schemes
• Nonparametric and semiparametric regressions subject to monotonicity constraints: estimation and forecasting

Cited in

(4)

• Assessing point forecast accuracy by stochastic loss distance
• Robust forecast comparison
• Econometric Reviews honors Esfandiar Maasoumi
• Assessing point forecast accuracy by stochastic error distance

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