Comparing Density Forecasts via Weighted Likelihood Ratio Tests: Asymptotic and Bootstrap Methods

Raffaella Giacomini ()

No 583, Boston College Working Papers in Economics from Boston College Department of Economics

Abstract: This paper proposes tests for comparing the accuracy of density forecasts. The evaluation makes use of scoring rules, which are loss functions defined over the density forecast and the realizations of the variable. In particular, a logarithmic scoring rule leads to the development of asymptotic and bootstrap 'weighted likelihood ratio' tests. I conclude with an application to S&P500 daily returns, comparing the performance of density forecasts obtained from GARCH models with different distributional assumptions.

Keywords: density forecasting; scoring rules; predictive ability; forecast comparison (search for similar items in EconPapers)
JEL-codes: C12 C22 C52 C53 (search for similar items in EconPapers)
Date: 2002-06-01
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-mfd
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Citations: View citations in EconPapers (20)

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Working Paper: Comparing Density Forecasts via Weighted Likelihood Ratio Tests: Asymptotic and Bootstrap Methods (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:boc:bocoec:583

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