A New Goodness-of-Fit Test for Event Forecasting and Its Application to Credit Defaults
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- Lahiri, Kajal & Wang, J. George, 2013. "Evaluating probability forecasts for GDP declines using alternative methodologies," International Journal of Forecasting, Elsevier, vol. 29(1), pages 175-190.
More about this item
Keywordsout-of-sample validation; probability calibration; Hosmer-Lemeshow statistic; Bernoulli mixture models; credit risk;
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