A Decision_Theoretic Approach to Forecast Evaluation

By Granger, M. Hashem, Pesaran. 2000

153 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/53bf0b3afe9140f8a50441ab6dde7a6fc4f07326

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Applied Mathematics

Citations in the corpus

Comparing Density Forecasts Using Threshold- and Quantile-Weighted Scoring Rules (2011, background): “Diebold, Gunther, and Tay (1998) and Granger and Pesaran (2000) argued powerfully that the ideal forecaster is preferred by any rational user, irrespective of the cost-loss structure at hand.”
Economic Forecasting: Some Lessons from Recent Research (2003, background): “For example, consider the time series depicted by Hamilton (1993), figures 2–4, pp.”
Does the Barro-Gordon Model Explain the Behavior of US Inflation? a Reexamination of the Empirical Evidence (2003, unknown): “[7]”
Inflation Targeting under Asymmetric Preferences (2001, background): “Zellner (1986), Granger and Pesaran (1996), and Christoffersen and Diebold (1997) study this function in the context of optimal forecasting.”
Unpredictability in economic analysis, econometric modeling and forecasting (2014, background): “Intrinsic unpredictability applies equally to explaining the past (i.e., modeling {ϵt , t = 1, . . . , T }) and forecasting the future from T (i.e., of {ϵt , t = T + 1, . . . , T + h}): the best that can be achieved in both settings is the unconditional distribution, and It−1 is of no help in…”
The Role of Asymmetries and Regime Shifts in the Term Structure of Interest Rates (2006, background): “With regard to the evaluation of forecasting models, although the relevant literature has traditionally focused on accuracy evaluations based on point forecasts, several authors have recently emphasized the importance of evaluating the forecast accuracy of economic models on the basis of density–as ”
Estimation and Testing of Forecast Rationality under Flexible Loss (2005, unknown): “rt+1(θ) ≡ |mt+1 −mt+1 −∆t+1 · (θ − θ∗)|/|θ − θ∗|, (12)”
Forecasting and Decision Theory (2006, background): “ Granger and Pesaran (2000a) review the classic case in which there are two states of the world, which we here call “good” and “bad” for convenience.”
Model Averaging and Value-at-Risk Based Evaluation of Large Multi Asset Volatility Models for Risk Management (2004, unknown): “Granger and Pesaran (2000a) clarify the importance of concentrating on probability forecasts rather than on just event forecasts.”
Forecast Uncertainties in Macroeconometric Modelling: An Application to the UK Economy (2000, background): “Equation (19) is an “output gap” (OG) relationship implied by a stochastic version of the Solow growth model with a common technological progress variable in production at home and abroad; (20) is a real money balance (RMB) relationship, based on the condition that the economy must remain financiall”