A Decision_Theoretic Approach to Forecast Evaluation

Clive Granger and Mohammad Pesaran

Cambridge Working Papers in Economics from Faculty of Economics, University of Cambridge

Abstract: This paper addresses the problem of forecast evaluation in the context of a simple but realistic decision problem, and proposes a procedure, for the evaluation for forecats based on their average realized value to the decision maker.

Keywords: FORECASTS; PROBABILITY (search for similar items in EconPapers)
JEL-codes: C10 C20 C22 (search for similar items in EconPapers)
Pages: 19 pages
Date: 1996
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Citations: View citations in EconPapers (28)

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Persistent link: https://EconPapers.repec.org/RePEc:cam:camdae:9618

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