On forecast evaluation

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Borradores de Economía; No. 825
Date published
2014-06-06
Date of last update
2014-06-06
Author
Martinez-Rivera, Wilmer Osvaldo
Hernández-Bejarano, Manuel Darío
Julio-Román, Juan Manuel
Document language
spa
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Las opiniones contenidas en el presente documento son responsabilidad exclusiva de los autores y no comprometen al Banco de la República ni a su Junta Directiva.
Abstract
We propose to assess the performance of k forecast procedures by exploring the distributions of forecast errors and error losses. We argue that non systematic forecast errors minimize when their distributions are symmetric and unimodal, and that forecast
JEL Codes
C12 - Hypothesis Testing: GeneralC14 - Semiparametric and Nonparametric Methods: GeneralC53 - Forecasting and Prediction Methods; Simulation Methods
Keywords
Forecast evaluation ; Stochastic order ; Multiple comparison ;
URI
https://repositorio.banrep.gov.co/handle/20.500.12134/6112
https://hdl.handle.net/20.500.12134/6112
https://doi.org/10.32468/be.825
https://ideas.repec.org/p/bdr/borrec/825.html
https://ideas.repec.org/p/col/000094/011604.html
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This work is licensed under a Creative Commons Reconocimiento-NoComercial 4.0.This document has been deposited by the author (s) under the following certificate of deposit