Decision‐Based Methods for Forecast Evaluation

M. Hashem Pesaran · Spyros Skouras

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Forecasting Techniques and Applications Multi-Criteria Decision Making Decision-Making and Behavioral Economics

Abstract

This chapter contains section titled: INTRODUCTION PRODUCERS AND USERS OF FORECASTS A DECISION-BASED FORECAST EVALUATION FRAMEWORK RECENT DEVELOPMENTS IN FORECAST EVALUATION: AN OVERVIEW DECISION-BASED FORECAST COMPARISONS TESTING THE EQUIVALENCE OF FORECAST VALUES CONCLUDING REMARKS

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References

1971Time Series Analysis Forecasting and Control.1985The Optimal Degree of Commitment to an Intermediate Monetary Target 1983A Positive Theory of Monetary Policy in a Natural Rate Model 1998Evaluating Density Forecasts with Applications to Financial Risk Management 1996Asymptotic Inference about Predictive Ability 1981On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills 1997An Overview of Value at Risk 1973A New Vector Partition of the Probability Score

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