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Comparing the accuracy of density forecasts from competing models

  • Giorgio Valente

    (University of Warwick, UK)

  • Lucio Sarno

    (University of Warwick, UK, and Centre for Economic Policy Research, UK)

A rapidly growing literature emphasizes the importance of evaluating the forecast accuracy of empirical models on the basis of density (as opposed to point) forecasting performance. We propose a test statistic for the null hypothesis that two competing models have equal density forecast accuracy. Monte Carlo simulations suggest that the test, which has a known limiting distribution, displays satisfactory size and power properties. The use of the test is illustrated with an application to exchange rate forecasting. Copyright © 2004 John Wiley & Sons, Ltd.

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File URL: http://hdl.handle.net/10.1002/for.930
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Article provided by John Wiley & Sons, Ltd. in its journal Journal of Forecasting.

Volume (Year): 23 (2004)
Issue (Month): 8 ()
Pages: 541-557

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Handle: RePEc:jof:jforec:v:23:y:2004:i:8:p:541-557
Contact details of provider: Web page: http://www3.interscience.wiley.com/cgi-bin/jhome/2966

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