Further Results on Forecasting and Model Selection under Asymmetric Loss
We make three related contributions. First, we propose a new technique for solving prediction problems under asymmetric loss using piecewise-linear approximations to the loss function, and we establish existence and uniqueness of the optimal predictor. Second, we provide a detailed application to optimal prediction of a conditionally heteroscedastic process under asymmetric loss, the insights gained from which are broadly applicable. Finally, we incorporate our results into a general framework for recursive prediction-based model selection under the relevant loss function. Copyright 1996 by John Wiley & Sons, Ltd.
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Volume (Year): 11 (1996)
Issue (Month): 5 (Sept.-Oct.)
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References listed on IDEAS
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- Hansen, Bruce E, 1994.
"Autoregressive Conditional Density Estimation,"
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- Hansen, B.E., 1992. "Autoregressive Conditional Density Estimation," RCER Working Papers 322, University of Rochester - Center for Economic Research (RCER).
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"Comparing Predictive Accuracy,"
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American Statistical Association, vol. 20(1), pages 134-44, January.
- Zellner, A., 1992. "Statistics, Science and Public Policy," Papers 92-21, California Irvine - School of Social Sciences.
- McCloskey, Donald N, 1985. "The Loss Function Has Been Mislaid: The Rhetoric of Significance Tests," American Economic Review, American Economic Association, vol. 75(2), pages 201-05, May.
- Newey, Whitney K & Powell, James L, 1987. "Asymmetric Least Squares Estimation and Testing," Econometrica, Econometric Society, vol. 55(4), pages 819-47, July.
- Vuong, Quang H, 1989. "Likelihood Ratio Tests for Model Selection and Non-nested Hypotheses," Econometrica, Econometric Society, vol. 57(2), pages 307-33, March.
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