Comparing the accuracy of density forecasts from competing models

Giorgio Valente () and Lucio Sarno

Journal of Forecasting, 2004, vol. 23, issue 8, 541-557

Abstract: 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.

Date: 2004
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Working Paper: Comparing the Accuracy of Density Forecasts from Competing Models (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:jof:jforec:v:23:y:2004:i:8:p:541-557

DOI: 10.1002/for.930

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