Asymmetry and interdependence when evaluating U.S. Energy Information Administration forecasts

Macroeconomic Forecasts: Betraying Us When Most Needed

NOTES AND CORRESPONDENCE Evaluating Probabilistic Forecasts Using Information Theory

The problem of assessing the quality of an operational forecasting system that produces probabilistic forecasts is addressed using information theory. A measure of the quality of the forecasting scheme, based on the amount of a data compression it allows, is outlined. This measure, called ignorance, is a logarithmic scoring rule that is a modified version of relative entropy and can be calculat...

Information and Economic Interdependence

Evaluating multivariate volatility forecasts

The performance of techniques for evaluating multivariate volatility forecasts are not yet as well understood as their univariate counterparts. This paper aims to evaluate the efficacy of a range of traditional statistical-based methods for multivariate forecast evaluation together with methods based on underlying considerations of economic theory. It is found that statistical-based methods, or...

Evaluating Long–Horizon Forecasts

This paper examines the asymptotic and finite-sample properties of tests of equal forecast accuracy and encompassing applied to predictions from nested long-horizon regression models. We first derive the asymptotic distributions of a set of tests of equal forecast accuracy and encompassing, showing that the tests have non-standard distributions that depend on the parameters of the data-generati...