Evaluating The Forecast of Densities of Linear and Non-Linear Models: Applications to Output Growth and Unemployment

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Evaluating The Forecast of Densities of Linear and Non-Linear Models: Applications to Output Growth and Unemployment

Author Info

Clements, M.P.
Smith J.

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Abstract

In economics density forecasts are rarely available, and as a result attention has traditionally focused on poit forecasts of the mean and the use of mean square error statistics to represent the loss function. We extend the methods of forecasts density evaluation in Diebold, Gunther and Tay (1997) to compare linear and non-linear model based forecasts of US out put growth and changes in the unemployment rate.

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Publisher Info
Paper provided by University of Warwick, Department of Economics in its series The Warwick Economics Research Paper Series (TWERPS) with number 509.

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Length: 19 pages
Date of creation: 1998
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Handle: RePEc:wrk:warwec:509

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C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation and Testing

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