Forecast Evaluation Methods

Introduction of selected modelfree methods to evaluate specific forecast series and to compare pairwise competing series of forecasts


Term Paper, 2016

26 Pages, Grade: 1,0


Abstract or Introduction

This seminar paper aims to briefly introduce selected modelfree methods which can be used both to evaluate specific forecast series and to compare pairwise competing series of forecasts. Problems arising from parameter estimation uncertainty and nested forecast generating models are illuminated curtly. The model-free methods will be applied to three series of annual german economic forecasts from 1970 - 2015 provided by the joint forecast and the Council of Economic Advisors.

It turns out that the forecast accuracy matches the chronology of the forecasts within the annual forecast semester. Moreover, a simple Monte Carlo study aims to illustrate graphically empirical size and empirical power of the tests for pairwise comparison depending on certain properties of the underlying forecast error sequences.

Details

Title
Forecast Evaluation Methods
Subtitle
Introduction of selected modelfree methods to evaluate specific forecast series and to compare pairwise competing series of forecasts
College
University of Cologne  (Institut für Ökonometrie und Statistik)
Course
Seminar "Statistics and Econometrics"
Grade
1,0
Author
Year
2016
Pages
26
Catalog Number
V441425
ISBN (eBook)
9783668798533
ISBN (Book)
9783668798540
Language
English
Tags
Forecast Evaluation, Diebold-Mariano, Prognose, Monte Carlo, Prognosegüte, Econometrics
Quote paper
Frank Undorf (Author), 2016, Forecast Evaluation Methods, Munich, GRIN Verlag, https://www.grin.com/document/441425

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