Assessing point forecast accuracy by stochastic error distance

DOI10.1080/07474938.2017.1307247OpenAlexW4297819832MaRDI QIDQ5864637

Francis X. Diebold, Minchul 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

squared error lossforecast accuracyquadratic lossforecast evaluationabsolute error loss

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Related Items (4)

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 ⋮ Probabilistic sensitivity measures as information value ⋮ The alpha-mixture of survival functions

Uses Software

• energy

Cites Work

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

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