EconPapers    
Economics at your fingertips  
 

Evaluating Density Forecasts

Francis Diebold (), Todd A. Gunther and Anthony S Tay ()

CARESS Working Papres from University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences

Abstract: We propose several methods for evaluating and improving density forecasts. We focus primarily on methods that are applicable regardless of the particular user s loss function, but we also show how to use information about the loss function when and if it is known. Throughout, we take explicit account of the relationships between density forecasts, action choices, and the corresponding expected loss.

References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6) Track citations by RSS feed

Downloads: (external link)
http://pier.econ.upenn.edu/Archive/97-018.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://pier.econ.upenn.edu/Archive/97-018.pdf [301 Moved Permanently]--> http://www.econ.upenn.edu/pierArchive/97-018.pdf [301 Moved Permanently]--> http://economics.sas.upenn.edu/pierArchive/97-018.pdf [301 Moved Permanently]--> https://economics.sas.upenn.edu/pierArchive/97-018.pdf)

Related works:
Working Paper: Evaluating density forecasts (1997) Downloads
Working Paper: Evaluating Density Forecasts (1997) Downloads
Working Paper: Evaluating Density Forecasts (1997) Downloads
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:wop:pennca:97-18

Access Statistics for this paper

More papers in CARESS Working Papres from University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences Contact information at EDIRC.
Bibliographic data for series maintained by Thomas Krichel ().

 
Page updated 2020-09-22
Handle: RePEc:wop:pennca:97-18