A DECISION THEORETIC APPROACH TO FORECAST EVALUATION
Published 1 April 2000
Clive W. J. Granger, M. Hashem Pesaran
Citations37
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Abstract
This paper addresses the problem of forecast evaluation in the context of a simple but realistic decision problem, and proposes a procedure, for the evaluation of forecasts based on their average realized value to the decision maker. It is shown that by concentrating on probability forecasts stronger theoretical results can be achieved than if just event forecasts were used. A possible generalisation is considered concerning the use of the correct, conditional predictive density function when forming forecasts.
Keywords
Mathematics
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