Chi-squared tests of interval and density forecasts, and the Bank of England's fan charts
This paper reviews recently proposed likelihood ratio tests of goodness-of-fit and independence of interval forecasts. It recasts them in the framework of Pearson chi-squared statistics, and extends them to density forecasts. Two further recent developments are also incorporated, namely a more informative decomposition of the goodness-of-fit statistic, and the calculation of exact P-values. Examples considered are the US Survey of Professional Forecasters density forecasts of inflation and the Bank of England fan charts. This first evaluation of the Bank forecasts finds that the fan charts fan out too quickly, and the excessive concern with the upside risks was not justified.
|Date of creation:||29 Aug 2002|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: +44 1334 462479
Web page: http://www.res.org.uk/society/annualconf.asp
More information through EDIRC
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Francis X. Diebold & Anthony S. Tay & Kenneth F. Wallis, 1998.
"Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters,"
98-15, New York University, Leonard N. Stern School of Business, Department of Economics.
- Francis X. Diebold & Anthony S. Tay & Kenneth F. Wallis, 1997. "Evaluating Density Forecasts of Inflation: The Survey of Professional Forecasters," NBER Working Papers 6228, National Bureau of Economic Research, Inc.
- Anthony Tay & Kenneth F. Wallis, 2000. "Density Forecasting: A Survey," Econometric Society World Congress 2000 Contributed Papers 0370, Econometric Society.
- Granger, C. W. J. & White, Halbert & Kamstra, Mark, 1989. "Interval forecasting : An analysis based upon ARCH-quantile estimators," Journal of Econometrics, Elsevier, vol. 40(1), pages 87-96, January.
- Michael P. Clements & Nick Taylor, 2003. "Evaluating interval forecasts of high-frequency financial data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(4), pages 445-456.
- Christoffersen, Peter F, 1998. "Evaluating Interval Forecasts," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 841-62, November.
- Francis X. Diebold & Todd A. Gunther & Anthony S. Tay, 1997.
"Evaluating Density Forecasts,"
NBER Technical Working Papers
0215, National Bureau of Economic Research, Inc.
- Francis X. Diebold & Todd A. Gunther & Anthony S. Tay, 1997. "Evaluating Density Forecasts," Center for Financial Institutions Working Papers 97-37, Wharton School Center for Financial Institutions, University of Pennsylvania.
- Francis X. Diebold & Todd A. Gunther & Anthony S. Tay, . "Evaluating Density Forecasts," CARESS Working Papres 97-18, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences.
- Francis X. Diebold & Todd A. Gunther & Anthony S. Tay, 1997. "Evaluating density forecasts," Working Papers 97-6, Federal Reserve Bank of Philadelphia.
- repec:att:wimass:9417 is not listed on IDEAS
- repec:sae:niesru:v:167:y::i:1:p:106-112 is not listed on IDEAS
- Thompson, Patrick A & Miller, Robert B, 1986. "Sampling the Future: A Bayesian Approach to Forecasting from Univariate Time Series Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 4(4), pages 427-36, October.
- Diebold, Francis X & Gunther, Todd A & Tay, Anthony S, 1998. "Evaluating Density Forecasts with Applications to Financial Risk Management," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 39(4), pages 863-83, November.
- West, Kenneth D, 1996.
"Asymptotic Inference about Predictive Ability,"
Econometric Society, vol. 64(5), pages 1067-84, September.
- Anderson, Gordon, 1994. "Simple tests of distributional form," Journal of Econometrics, Elsevier, vol. 62(2), pages 265-276, June.
- Lahiri, Kajal & Teigland, Christie, 1987. "On the normality of probability distributions of inflation and GNP forecasts," International Journal of Forecasting, Elsevier, vol. 3(2), pages 269-279.
When requesting a correction, please mention this item's handle: RePEc:ecj:ac2002:181. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum)
If references are entirely missing, you can add them using this form.