Forecast Evaluation: A Likelihood Scoring Method

Matthew A. Diersen and Mark R. Manfredo

No 285735, 1981-1999 Conference Archive from NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management

Abstract: While many forecast evaluation techniques are available, most are designed for the end user of forecasts. Most statistical evaluation procedures rely on a particular loss function. Forecast evaluation procedures, such as mean squared error and mean absolute error, that have different underlying loss functions, may provide conflicting results. This paper develops a new approach of evaluating forecasts, a likelihood scoring method, that does not rely on a particular loss function. The method takes a Bayesian approach to forecast evaluation and uses information from forecast prediction intervals. This method is used to evaluate structural econometric and ARIMA forecasting models of quarterly hog price.

Keywords: Marketing (search for similar items in EconPapers)
Date: 1998-04
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Persistent link: https://EconPapers.repec.org/RePEc:ags:nc8191:285735

DOI: 10.22004/ag.econ.285735

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