Evaluating macroeconomic risk forecasts
AbstractMacroeconomic risk assessments play an important role in the forecasts of many institutions. A risk forecast is related to the potential asymmetry of the forecast density. In this work, we investigate how the optimality of such risk forecasts can be tested. We find that the Pearson mode skewness outperforms the standard third-moment-based skewness as a measure of asymmetry. We consider problems of the tests likely to be encountered in practice and try to offer remedies where possible. In general, tests for macroeconomic risk forecast optimality tend to have at best moderate power given the empirically available small sample sizes. --
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Bibliographic InfoPaper provided by Deutsche Bundesbank, Research Centre in its series Discussion Paper Series 1: Economic Studies with number 2011,14.
Date of creation: 2011
Date of revision:
forecast evaluation; asymmetric densities; skewness;
Find related papers by JEL classification:
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
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- Francis X. Diebold & Jose A. Lopez, 1995.
"Forecast evaluation and combination,"
9525, Federal Reserve Bank of New York.
- Eric Leeper, 2003. "An "Inflation Reports" Report," NBER Working Papers 10089, National Bureau of Economic Research, Inc.
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