Mp. Clements et J. Smith, Evaluating the forecast densities of linear and non-linear models: Applications to output growth and unemployment, J FORECAST, 19(4), 2000, pp. 255-276
In economics density forecasts are rarely available, and as a result attent
ion has traditionally focused on point forecasts of the mean and the use of
mean square error statistics to represent the loss function. In this paper
we apply recently developed methods of forecast density evaluation to comp
are model-based density forecasts of US output growth and changes in the un
employment rate. Since one of the models is non-linear and characterized by
a changing error variance, density evaluation may offer greater discrimina
tion than evaluation based on the first moment. Copyright (C) 2000 John Wil
ey & Sons, Ltd.