Assessing Point Forecast Accuracy by Stochastic Error Distance / Francis X. Diebold, Minchul Shin.

Format:

Book

Author/Creator:

Diebold, Francis X.

Contributor:

National Bureau of Economic Research.

Shin, Minchul.

Series:

Working Paper Series (National Bureau of Economic Research) no. w22516.

NBER working paper series no. w22516

Language:

English

Physical Description:

1 online resource: illustrations (black and white);

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 2016.

Summary:

We propose point forecast accuracy measures based directly on distance of the forecast-error c.d.f. from the unit step function at 0 ("stochastic error distance," or SED). We provide a precise characterization of the relationship between SED and standard predictive loss functions, and we show that all such loss functions can be written as weighted SED's. The leading case is absolute-error loss. Among other things, this suggests shifting attention away from conditional-mean forecasts and toward conditional-median forecasts.

Notes:

Print version record

August 2016.