 Evaluating, Comparing and Combining Density Forecasts Using the KLIC with an Application to the Bank of England and NIESR ‘Fan’ Charts of Inflation*James Mitchell and Stephen Hall Oxford Bulletin of Economics and Statistics, 2005, vol. 67, issue s1, 995-1033 Abstract: This paper proposes and analyses the Kullback–Leibler information criterion (KLIC) as a unified statistical tool to evaluate, compare and combine density forecasts. Use of the KLIC is particularly attractive, as well as operationally convenient, given its equivalence with the widely used Berkowitz likelihood ratio test for the evaluation of individual density forecasts that exploits the probability integral transforms. Parallels with the comparison and combination of point forecasts are made. This and related Monte Carlo experiments help draw out properties of combined density forecasts. We illustrate the uses of the KLIC in an application to two widely used published density forecasts for UK inflation, namely the Bank of England and NIESR ‘fan’ charts. Date: 2005 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:bla:obuest:v:67:y:2005:i:s1:p:995-1033 Ordering information: This journal article can be ordered from Access Statistics for this article Oxford Bulletin of Economics and Statistics is currently edited by Christopher Adam, Anindya Banerjee, Christopher Bowdler, David Hendry, Adriaan Kalwij, John Knight and Jonathan Temple More articles in Oxford Bulletin of Economics and Statistics from Department of Economics, University of Oxford Contact information at EDIRC. |
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