Evaluating density forecasts: a comment
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منابع مشابه
Evaluating Conditional Forecasts from Vector Autoregressions
Many forecasts are conditional in nature. For example, a number of central banks routinely report forecasts conditional on particular paths of policy instruments. Even though conditional forecasting is common, there has been little work on or with methods for evaluating conditional forecasts. This paper provides analytical, Monte Carlo, and empirical evidence on tests of predictive ability for ...
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