Advanced Search
MyIDEAS: Login

Evaluating Density Forecasts: Forecast Combinations, Model Mixtures, Calibration and Sharpness

Contents:

Author Info

  • James Mitchell

    ()

  • Wallis, K.F.

Abstract

In a recent article Gneiting, Balabdaoui and Raftery (JRSSB, 2007) propose the criterion of sharpness for the evaluation of predictive distributions or density forecasts. They motivate their proposal by an example in which standard evaluation procedures based on probability integral transforms cannot distinguish between the ideal forecast and several competing forecasts. In this paper we show that their example has some unrealistic features from the perspective of the time-series forecasting literature, hence it is an insecure foundation for their argument that existing calibration procedures are inadequate in practice. We present an alternative, more realistic example in which relevant statistical methods, including information-based methods, provide the required discrimination between competing forecasts. We conclude that there is no need for a subsidiary criterion of sharpness.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://niesr.ac.uk/pdf/MitchellWallisMar09.pdf
Our checks indicate that this address may not be valid because: 404 Not Found. If this is indeed the case, please notify (Communications Manager)
Download Restriction: no

Bibliographic Info

Paper provided by National Institute of Economic and Social Research in its series NIESR Discussion Papers with number 320.

as in new window
Length:
Date of creation: Aug 2008
Date of revision:
Handle: RePEc:nsr:niesrd:320

Contact details of provider:
Postal: 2 Dean Trench Street Smith Square London SW1P 3HE
Web page: http://niesr.ac.uk

Related research

Keywords:

Other versions of this item:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
This item has more than 25 citations. To prevent cluttering this page, these citations are listed on a separate page.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:nsr:niesrd:320. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Communications Manager).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.