Comparing the Accuracy of Density Forecasts from Competing Models

نویسندگان

  • LUCIO SARNO
  • GIORGIO VALENTE
  • G. Valente
چکیده

A rapidly growing literature emphasizes the importance of evaluating the forecast accuracy of empirical models on the basis of density (as opposed to point) forecasting performance. We propose a test statistic for the null hypothesis that two competing models have equal density forecast accuracy. Monte Carlo simulations suggest that the test, which has a known limiting distribution, displays satisfactory size and power properties. The use of the test is illustrated with an application to exchange rate forecasting. Copyright © 2004 John Wiley & Sons, Ltd. key words forecasting; forecast evaluation; density forecast; exchange rates

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تاریخ انتشار 2004