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Evaluating The Forecast of Densities of Linear and Non-Linear Models: Applications to Output Growth and Unemployment

Author

Listed:
  • Clements, M.P.
  • Smith J.

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.

Suggested Citation

  • Clements, M.P. & Smith J., 1998. "Evaluating The Forecast of Densities of Linear and Non-Linear Models: Applications to Output Growth and Unemployment," The Warwick Economics Research Paper Series (TWERPS) 509, University of Warwick, Department of Economics.
  • Handle: RePEc:wrk:warwec:509
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    File URL: https://www2.warwick.ac.uk/fac/soc/economics/research/workingpapers/1995-1998/twerp509.pdf
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    More about this item

    Keywords

    FORECASTS ; STATISTICS ; LINEAR MODELS;

    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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