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Evaluating The Forecast Densities Of Linear And Non-Linear Models: Applications To Output Growth And Unemployment

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  • Clements, Michael P.
  • Smith, Jeremy

Abstract

In economics density forecasts are rarely available, and as a result attention has traditionally focused on poit forecasts of the mean and the use of mean square error statistics to represent the loss function. We extend the methods of forecasts density evaluation in Diebold, Gunther and Tay (1997) to compare linear and non-linear model based forecasts of US out put growth and changes in the unemployment rate.
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Suggested Citation

  • Clements, Michael P. & Smith, Jeremy, 1998. "Evaluating The Forecast Densities Of Linear And Non-Linear Models: Applications To Output Growth And Unemployment," Economic Research Papers 268791, University of Warwick - Department of Economics.
    • Handle: RePEc:ags:uwarer:268791
    DOI: 10.22004/ag.econ.268791
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    Keywords

    Labor and Human Capital; Research Methods/ Statistical Methods;

    JEL classification:

    • C50 - Mathematical and Quantitative Methods - - Econometric Modeling - - - General
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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