Comparing Predictive Accuracy in the Presence of a Loss Function Shape Parameter

DOI10.1080/07350015.2021.1896527zbMATH Open1547.62609MaRDI QIDQ6620929

Andrew J. Patton, Author name not available (Why is that?)

Publication date: 17 October 2024

Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• Title not available (Why is that?)
• Making and Evaluating Point Forecasts
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• Diverging Tests of Equal Predictive Ability
• Tests of Conditional Predictive Ability
• ROBUST FORECAST COMPARISON
• Of Quantiles and Expectiles: Consistent Scoring Functions, Choquet Representations and Forecast Rankings
• Tests of equal forecast accuracy and encompassing for nested models
• Comparing Possibly Misspecified Forecasts

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