Testing Forecast Optimality Under Unknown Loss

DOI10.1198/016214506000001176MaRDI QIDQ3632579zbMATH OpenOpenAlexFDO

Authors Andrew J. Patton, Allan Timmermann

Publication date 12 June 2009

Published in Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL https://ora.ox.ac.uk/objects/uuid:cf321d44-28f2-4709-b937-7c0abbd9af17

zbMATH Keywords

forecast evaluationloss functionforecast efficiencyoutput growth

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

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Cited in

(22)

• Multivariate test for forecast rationality under asymmetric loss functions: recent evidence from MMS survey of inflation-output forecasts
• Determining the MSE-optimal cross section to forecast
• Assessing point forecast accuracy by stochastic error distance
• Expert opinion versus expertise in forecasting
• Proper Scoring Rules for Evaluating Density Forecasts with Asymmetric Loss Functions
• Do German economic research institutes publish efficient growth and inflation forecasts? A Bayesian analysis
• A defense of the FOMC
• Sir Clive W. J. Granger's contributions to forecasting
• Efficient forecast tests for conditional policy forecasts
• Properties of optimal forecasts under asymmetric loss and nonlinearity
• Integrated variance forecasting: model based vs. reduced form
• On the recoverability of forecasters' preferences
• Multi-step forecasts from threshold ARMA models using asymmetric loss functions
• Robust forecast comparison
• A panel data approach to economic forecasting: the bias-corrected average forecast
• Forecasting macroeconomic fundamentals in economic crises
• ROC curves for regression
• Can we estimate macroforecasters' mis-behavior?
• An example of an optimal forecast exhibiting decreasing bias with increasing forecast horizon
• Bregman model averaging for forecast combination
• Estimation and Testing of Forecast Rationality under Flexible Loss
• Evaluating treatment protocols using data combination

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