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Asymptotic variance of Brier (skill) score in the presence of serial correlation

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  • Lahiri, Kajal
  • Yang, Liu

Abstract

We propose autocorrelation-robust asymptotic variances of the Brier score and Brier skill score, which are generally applicable in circumstances with weak serial correlation. An empirical application in macroeconomics underscores the importance of taking care of serial correlation. We find that the conventional variances are too conservative to account for the sampling variability in estimating the Brier (skill) score.

Suggested Citation

  • Lahiri, Kajal & Yang, Liu, 2016. "Asymptotic variance of Brier (skill) score in the presence of serial correlation," Economics Letters, Elsevier, vol. 141(C), pages 125-129.
  • Handle: RePEc:eee:ecolet:v:141:y:2016:i:c:p:125-129
    DOI: 10.1016/j.econlet.2015.09.022
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    Cited by:

    1. Lahiri, Kajal & Yang, Liu, 2016. "Asymptotic variance of Brier (skill) score in the presence of serial correlation," Economics Letters, Elsevier, vol. 141(C), pages 125-129.

    More about this item

    Keywords

    Probability forecasts; Serial correlation; Brier score; Brier skill score; Survey of Professional Forecasters;

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • 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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