| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/t0192 |
| 来源ID | Technical Working Paper 0192 |
| Forecast Evaluation and Combination | |
| Francis X. Diebold; Jose A. Lopez | |
| 发表日期 | 1996-03-01 |
| 出版年 | 1996 |
| 语种 | 英语 |
| 摘要 | It is obvious that forecasts are of great importance and widely used in economics and finance. Quite simply, good forecasts lead to good decisions. The importance of forecast evaluation and combination techniques follows immediately -- forecast users naturally have a keen interest in monitoring and improving forecast performance. More generally, forecast evaluation figures prominently in many questions in empirical economics and finance. We provide selective account of forecast evaluation and combination methods. First we discuss evaluation of a single forecast, and in particular, evaluation of whether and how it may be improved. Second, we discuss the evaluation and comparison of the accuracy of competing forecasts. Third, we discuss whether and how a set of forecasts may be combined to produce a superior composite forecast. Fourth, we describe a number of forecast evaluation topics of particular relevance in economics and finance, including methods for evaluating direction-of-change forecasts, probability forecasts and volatility forecasts. |
| 主题 | Econometrics ; Estimation Methods |
| URL | https://www.nber.org/papers/t0192 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/562933 |
| 推荐引用方式 GB/T 7714 | Francis X. Diebold,Jose A. Lopez. Forecast Evaluation and Combination. 1996. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| t0192.pdf（1333KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
