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