1,140
Views
40
CrossRef citations to date
0
Altmetric
Articles

Comparing Possibly Misspecified Forecasts

References

  • Banerjee, A., Guo, X., and Wang, H. (2005), “On the Optimality of Conditional Expectation as a Bregman Predictor,” IEEE Transactions on Information Theory, 51, 2664–2669. DOI: 10.1109/TIT.2005.850145.
  • Bauwens, L., Hafner, C., and Laurent, S. (2012), Handbook of Volatility Models and Their Applications, Hoboken, NJ: Wiley.
  • Bollerslev, T. (1986), “Generalized Autoregressive Conditional Heteroskedasticity,” Journal of Econometrics, 31, 307–327. DOI: 10.1016/0304-4076(86)90063-1.
  • Bregman, L. M. (1967), “The Relaxation Method of Finding the Common Point of Convex Sets and Its Application to the Solution of Problems in Convex Programming,” USSR Computational Mathematics and Mathematical Physics, 7, 200–217. DOI: 10.1016/0041-5553(67)90040-7.
  • Christoffersen, P., and Diebold, F. X. (1997), “Optimal Prediction Under Asymmetric Loss,” Econometric Theory, 13, 808–817. DOI: 10.1017/S0266466600006277.
  • Christoffersen, P., and Jacobs, K. (2004), “The Importance of the Loss Function in Option Valuation,” Journal of Financial Economics, 72, 291– 318. DOI: 10.1016/j.jfineco.2003.02.001.
  • Diebold, F. X., and Mariano, R. S. (1995), “Comparing Predictive Accuracy,” Journal of Business and Economic Statistics, 13, 253–263. DOI: 10.2307/1392185.
  • Ehm, W., Gneiting, T., Jordan, A., F., and Krüger, F. (2016), “Of Quantiles and Expectiles: Consistent Scoring Functions, Choquet Representations and Forecast Rankings” (with discussion and rejoinder), Journal of the Royal Statistical Society, Series B, 78, 505–562. DOI: 10.1111/rssb.12154.
  • Elliott, G., Ghanem, D., and Krüger, F. (2016), “Forecasting Conditional Probabilities of Binary Outcomes Under Misspecification,” Review of Economics and Statistics, 98, 742–755. DOI: 10.1162/REST_a_00564.
  • Elliott, G., and Timmermann, A. (2016), Economic Forecasting, Princeton, NJ: Princeton University Press.
  • Engelberg, J., Manski, C. F., and Williams, J. (2009), “Comparing the Point Predictions and Subjective Probability Distributions of Professional Forecasters,” Journal of Business & Economic Statistics, 27, 30–41. DOI: 10.1198/jbes.2009.0003.
  • Faust, J., and Wright, J. H. (2013), “Forecasting Inflation,” in Handbook of Economic Forecasting (Vol. 2), eds. G. Elliott and A. Timmermann, Amsterdam: Elsevier.
  • Gourieroux, C., Monfort, A., and Trognon, A. (1984), “Pseudo Maximum Likelihood Methods: Theory,” Econometrica, 52, 681–700. DOI: 10.2307/1913471.
  • Gneiting, T. (2011a), “Making and Evaluating Point Forecasts,” Journal of the American Statistical Association, 106, 746–762. DOI: 10.1198/jasa.2011.r10138.
  • Gneiting, T. (2011b), “Quantiles as Optimal Point Forecasts,” International Journal of Forecasting, 27, 197–207. DOI: 10.1016/j.ijforecast.2009.12.015.
  • Gneiting, T., and Raftery, A. E. (2007), “Strictly Proper Scoring Rules, Prediction and Estimation,” Journal of the American Statistical Association, 102, 358–378.
  • Gneiting, T., and Ranjan, R. (2011), “Comparing Density Forecasts Using Threshold- and Quantile-Weighted Scoring Rules,” Journal of Business & Economic Statistics, 29, 411–422. DOI: 10.1198/jbes.2010.08110.
  • Granger, C. W. J. (1969), “Prediction With a Generalized Cost of Error Function,” OR, 20, 199–207. DOI: 10.2307/3008559.
  • Hansen, B. E. (1994), “Autoregressive Conditional Density Estimation,” International Economic Review, 35, 705–730. DOI: 10.2307/2527081.
  • Hansen, P. R., and Dumitrescu, E.-I. (2016), “Parameter Estimation With Out-of-Sample Objective,” Working Paper, Department of Economics, UNC-Chapel Hill.
  • Holzmann, H., and Eulert, M. (2014), “The Role of the Information Set for Forecasting—With Applications to Risk Management,” Annals of Applied Statistics, 8, 595–621. DOI: 10.1214/13-AOAS709.
  • Koenker, R., Chernozhukov, V., He, X., and Peng, L. (2017), Handbook of Quantile Regression, Boca Raton, FL: CRC Press.
  • Komunjer, I. (2005), “Quasi Maximum-Likelihood Estimation for Conditional Quantiles,” Journal of Econometrics, 128, 137–164. DOI: 10.1016/j.jeconom.2004.08.010.
  • Lieli, R. P., and Nieto-Barthaburu, A. (2010), “Optimal Binary Prediction for Group Decision Making,” Journal of Business & Economic Statistics, 28, 308–319. DOI: 10.1198/jbes.2009.06120.
  • Lieli, R. P., and Stinchcombe, M. B. (2013), “On the Recoverability of Forecasters’ Preferences,” Econometric Theory, 29, 517–544. DOI: 10.1017/S0266466612000461.
  • Lieli, R. P., and Stinchcombe, M. B. (2017), “Unrestricted and Controlled Identification of Loss Functions: Possibility and Impossibility Results,” Working Paper, Department of Economics, Central European University.
  • Merkle, E. C., and Steyvers, M. (2013), “Choosing a Strictly Proper Scoring Rule,” Decision Analysis, 10, 292–304. DOI: 10.1287/deca.2013.0280.
  • Patton, A. J. (2011), “Volatility Forecast Comparison Using Imperfect Volatility Proxies,” Journal of Econometrics, 160, 246–256. DOI: 10.1016/j.jeconom.2010.03.034.
  • Patton, A. J., and Timmermann, A. (2007), “Properties of Optimal Forecasts Under Asymmetric Loss and Nonlinearity,” Journal of Econometrics, 140, 884–918. DOI: 10.1016/j.jeconom.2006.07.018.
  • Saerens, M. (2000), “Building Cost Functions Minimizing to Some Summary Statistics,” IEEE Transactions on Neural Networks, 11, 1263–1271. DOI: 10.1109/72.883416.
  • Savage, L. J. (1971), “Elicitation of Personal Probabilities and Expectations,” Journal of the American Statistical Association, 66, 783–801. DOI: 10.1080/01621459.1971.10482346.
  • Skouras, S. (2007), “Decisionmetrics: A Decision-Based Approach to Econometric Modelling,” Journal of Econometrics, 137, 414–440. DOI: 10.1016/j.jeconom.2006.03.012.
  • Thomson, W. (1979), “Eliciting Production Possibilities From a Well-Informed Manager,” Journal of Economic Theory, 20, 360–380. DOI: 10.1016/0022-0531(79)90042-5.
  • Varian, H. R. (1974), “A Bayesian Approach to Real Estate Assessment,” in Studies in Bayesian Econometrics and Statistics in Honor of Leonard J. Savage, eds. S. E. Fienberg and A. Zellner, Amsterdam: North-Holland, pp. 195–208.
  • Weiss, A. A. (1996), “Estimating Time Series Models Using the Relevant Cost Function,” Journal of Applied Econometrics, 11, 539–560. DOI: 10.1002/(SICI)1099-1255(199609)11:5<539::AID-JAE412>3.0.CO;2-I.
  • West, K. D. (1996), “Asymptotic Inference About Predictive Ability,” Econometrica, 64, 1067–1084. DOI: 10.2307/2171956.
  • White, H. (1994), Estimation, Inference and Specification Analysis, Econometric Society Monographs No. 22, Cambridge, UK: Cambridge University Press.
  • (2001), Asymptotic Theory for Econometricians (2nd ed.), San Diego, CA: Academic Press.
  • Zellner, A. (1986), “Bayesian Estimation and Prediction Using Asymmetric Loss Functions,” Journal of the American Statistical Association, 81, 446–451. DOI: 10.1080/01621459.1986.10478289.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.