Forecast Encompassing Tests and Probability Forecasts

Michael Clements and David Harvey

No 269744, Economic Research Papers from University of Warwick - Department of Economics

Abstract: We consider tests of forecast encompassing for probability forecasts, for both quadratic and logarithmic scoring rules. We propose test statistics for the null of forecast encompassing, present the limiting distributions of the test statistics, and investigate the impact of estimating the forecasting models’ parameters on these distributions. The small-sample performance of the various statistics is investigated, both in terms of small numbers of forecasts and model estimation sample sizes. Two empirical applications show the usefulness of the tests for the evaluation of recession probability forecasts from logit models with different leading indicators as explanatory variables, and for evaluating survey-based probability forecasts.

Keywords: Agricultural and Food Policy; Research Methods/Statistical Methods (search for similar items in EconPapers)
Pages: 36
Date: 2006-07-21
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
https://ageconsearch.umn.edu/record/269744/files/twerp_774.pdf (application/pdf)
https://ageconsearch.umn.edu/record/269744/files/twerp_774.pdf?subformat=pdfa (application/pdf)

Related works:
Journal Article: Forecast encompassing tests and probability forecasts (2010)
Working Paper: Forecast Encompassing Tests and Probability Forecasts (2006)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ags:uwarer:269744

DOI: 10.22004/ag.econ.269744

Access Statistics for this paper

More papers in Economic Research Papers from University of Warwick - Department of Economics
Bibliographic data for series maintained by AgEcon Search ().