Testing Forecast Optimality Under Unknown Loss

By Andrew J. Patton, Allan G. Timmermann. 2007

281 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/c077c39863c79136c3b85a0f73c780fd1446acfe

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In Economics and Econometrics

Citations in the corpus

Valuing New Goods in a Model with Complementarity: Online Newspapers (2007, unknown): “…2004; Blackburn 2004; Rob and Waldfogel 2004; Zentner 2003), file-sharing services and live concerts (Mortimer and Sorensen 2005), public and private broadcast channels (Berry and Waldfogel 1999; Prat and Stromberg 2005), and online and offline retailing (Goolsbee 2001; Sinai and Waldfogel 2004).”
Explanations of the inconsistencies in survey respondents'forecasts (2010, unknown): “Using the results in Patton and Timmermann (2007), we can show that, under relatively weak restrictions on the form of the loss function and the data generating process, the optimal forecast is given by: f t+h;t = E t (y t+h ) + h p V t (y t+h ) where E t (y t+h ) E (y t+h j t ), V t (y t+h ) V ar…”
Investor Attention and Stock Market Volatility (2015, methodology): “22See Patton and Timmermann (2007) for a discussion and an application of Mincer and Zarnowitz (1969) regressions.”
Disagreement and Biases in Inflation Expectations (2006, unknown): “…of forecast rationality in survey data on real output growth and inflation may largely have been driven by the assumption of symmetric loss, whereas Patton and Timmermann (2007b) find that over-predictions of output growth are costlier for the Federal Reserve than under-predictions, particularly…”
Internet and Politics: Evidence from U.K. Local Elections and Local Government Policies (2015, unknown): “…study the role of media in politics: Strömberg (2004b), Gentzkow (2006), Larcinese (2007), DellaVigna and Kaplan (2007), Ferraz and Finan (2008), Prat and Strömberg (2005), Snyder and Strömberg (2010), Enikolopov, Petrova, and Zhuravskaya (2011), Gentzkow, Shapiro, and Sinkinson (2011),…”
Do Newspapers Matter? Short-Run and Long-Run Evidence From the Closure of The Cincinnati Post (2013, unknown): “More broadly, Prat and Strömberg (2005) and Gentzkow (2006) studied the effect of television on voter turnout, whereas Erikson (1976), Gerber, Karlan, and Bergan (2009), Kahn and Kenney (2002), Chiang and Knight (2011), Snyder and Strömberg (2010), and others measured the effect of newspapers’…”
Analyzing and forecasting volatility spillovers, asymmetries and hedging in major oil markets (2010, unknown): “Under the assumption of correct specification and a mean squared error (MSE) loss function, the optimal forecast of y, given the information set, is its conditional expectation (see Patton and Timmermann (2007a, 2007b)).”
Detecting and Predicting Forecast Breakdowns (2009, background): “The two closest literatures to the present paper are the literature on forecast optimality testing (e.g., Mincer and Zarnowitz, 1969, Patton and Timmermann, 2006, Elliott, Komunjer and Timmermann, 2005) and the literature on structural break testing (e.g., Andrews, 1993; Dufour, Ghysels and Hall,…”
Powering Up With Space-Time Wind Forecasting (2010, background): “The optimality of the forecasts can continue to be evaluated with tests such as those introduced in Patton and Timmermann (2007).”
Exchange Rate Predictability (2013, unknown): “…models by re-centering the MSFE di¤erential in the test statistic by a term 68See Mincer and Zarnowitz (1969), West and McCracken (1998), and Patton and Timmermann (2006, 2007). that accounts for parameter estimation error and hence test whether, after adjusting for parameter estimation…”
Properties of Optimal Forecasts under Asymmetric Loss and Nonlinearity (2007, methodology): “Following Granger ( 1999 ) and Patton and Timmermann ( 2005 ) , the generalized forecast error , c Ã tþh ; t , is defined from the first - order condition of the loss function c Ã tþh ; t qLðY tþh À ^ Y Ã tþh ; t ; aÞ q ^ Y tþh ; t , ( 24 ) which in the linex case simplifies to c Ã tþh ; t ¼ a À a…”
Meet the Press: How Voters and Politicians Respond to Newspaper Entry and Exit (2014, unknown): “Overall, while a change in the supply of local news has an effect on turnout and on the incumbent’s reelection probability, it does not affect the (observable) characteristics of elected politicians, that is, their type.(44) At the same time—even if the characteristics of elected (41)Snyder and Strö”
Choice of Sample Split in Out-of-Sample Forecast Evaluation (2012, methodology): “We focus on the common case where forecasts are produced from recursively estimated regression models using least squares and forecast accuracy is evaluated using mean squared errors, (e.g., Diebold & Rudebusch (1991), Inoue & Kilian (2008), Patton & Timmermann (2007), and Stock & Watson (2002).)”
Forecast Combination and Encompassing (2009, background): “Elliott, Komunjer and Timmermann (2005), Patton and Timmermann (2006) and Clements (2007).”