Assessing point forecast accuracy by stochastic loss distance

Francis Diebold and Minchul Shin

Economics Letters, 2015, vol. 130, issue C, 37-38

Abstract: We explore the evaluation (ranking) of point forecasts by a “stochastic loss distance” (SLD) criterion, under which we prefer forecasts with loss distributions F(L(e)) “close” to the unit step function at 0. We show that, surprisingly, ranking by SLD corresponds to ranking by expected loss.

Keywords: Forecast evaluation; Forecast ranking; Expected loss; Absolute-error loss; Quadratic loss; Squared-error loss (search for similar items in EconPapers)
JEL-codes: C53 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:130:y:2015:i:c:p:37-38

DOI: 10.1016/j.econlet.2015.02.018

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