Testing interval forecasts: a GMM-based approach

DOI10.1002/FOR.1260MaRDI QIDQ4687313zbMATH OpenOpenAlexWikidataFDO

Authors Elena Dumitrescu, Christophe Hurlin, Jaouad Madkour

Publication date 11 October 2018

Published in Journal of Forecasting (Search for Journal in Brave)

Full work available at URL https://halshs.archives-ouvertes.fr/halshs-00618467/file/IF2011.pdf

zbMATH Keywords

\(J\)-statisticdensity forecastsforecast uncertaintyhigh-density regionstock market indexesvalidation method

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Monte Carlo methods (65C05) Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)

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(5)

• A new class of independence tests for interval forecasts evaluation
• Evaluating forecasting performance for interval data
• Improved tests for forecast comparisons in the presence of instabilities
• Moment tests for density forecast evaluation in the presence of parameter estimation uncertainty
• On the comparison of interval forecasts

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