Economic and statistical measures of forecast accuracy

Journal of Forecasting

Volumn 19, Issue 7, 2000, Pages 537-560

  Granger, Clive W J ^a,c   Pesaran, M Hashem ^b,d  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b TRINITY COLLEGE   (United Kingdom)

^c Department of Economics   (United States)

^d UNIVERSITY OF CAMBRIDGE   (United Kingdom)

Author keywords

Decision theory; Economic and statistical measures of forecast accuracy; Forecast evaluation; Probabilistic forecasts; Stock market predictability

Indexed keywords

EID: 0000109477     PISSN: 02776693     EISSN: None     Source Type: Journal    
DOI: 10.1002/1099-131x(200012)19:7<537::aid-for769>3.3.co;2-7     Document Type: Article

References (41)

1. Black A, Fraser P. 1995. UK stock returns: predictability and business conditions. The Manchester School Supplement 85-102.
2. Blake AP. 1996. Forecast error bounds by stochastic simulation. National Institute Economic Review May, 72-79.
3. Box GEP, Jenkins GM. 1970. Time Series Analysis, Forecasting and Control. Holder Day: San Francisco.
4. Brandt MW. 1999. Estimating portfolio and consumption choice: a conditional Euler equations approach. Journal of Finance 54: 1609-1645.
5. Breen W, Glosten LR, Jaeannathan R. 1990. Predictable variations in stock index returns. Journal of Finance 44: 1177-1189.
6. Brier GW. 1950. Verification of forecasts expressed in terms of probabilities. Monthly Weather Review 78: 1-3.
7. Campbell JY. 1987. Stock returns and the term structure. Journal of Financial Economics 373-399.
8. Campbell JY, Viceira LM. 1998. Consumption and portfolio decisions when expected returns are time varying. Working paper, Department of Economics, Harvard University.
9. Clare AD, Thomas SH, Wickens MR. 1994. Is the gilt-equity yield ratio useful for predicting US stock returns? Economic Journal 104: 303-315.
10. Clements MP, Hendry DF. 1998. Forecasting Economic Time Series. Cambridge University Press: New York.
11. Clements MP, Hendry DF. 1999. Forecasting Non-Stationary Economic Time Series. MIT Press: Cambridge, MA.
12. Diebold FX, Gunther TA, Tay AS. 1998. Evaluating density forecasts, with applications to financial risk management. International Economic Review 39: 863-884.
13. Diebold FX, Mariano R. 1995. Comparing forecast accuracy. Journal of Business Economics and Statistics 13: 253-265.
14. Fair RC. 1980. Estimating the expected predictive accuracy of econometric models. International Economic Review 21: 355-378.
15. Fair RC. 1993. Estimating event probabilities from macroeconometric models using stochastic simulations. In Business Cycles, Indicators, and Forecasting, Stock JH, Watson MW (eds). National Bureau of Economic Research, Studies in Business Cycles Volume 28, University of Chicago Press: Chicago.
16. Fama EF, French KR. 1989. Business conditions and expected returns on stocks and bonds. Journal of Financial Economics 25: 23-49.
17. Gandin LS, Murphy AH. 1992. Equitable skill scores for categorical forecasts. Weather Review 120: 361-370.
18. Garratt A, Lee MH, Pesaran MH, Shin Y. 2000. Forecast uncertainties in macroeconomic modelling: an application to the U.K. economy. Working Paper, Cambridge University.
19. Granger CWJ, Newbold P. 1986. Forecasting Economic Time Series. Academic Press: San Diego.
20. Granger CWJ, Pesaran MH. 1999. A decision theoretic approach to forecast evaluation. Forthcoming in Statistics and Finance: An Interface, Chan WS, Li WK, Tong H (eds). Imperial College Press: London. This is a revised version of the University of Cambridge DAE Working Paper No. 9618.
21. Heidke P. 1926. Berechnung des Erfolges und der Güte der Windstärkevorhersagen im Sturmwarnungsdienst. Geogr. Ann. 8: 310-349.
22. Henriksson RD, Merton RC. 1981. On market timing and investment performance. II. Statistical procedures for evaluating forecasting skills. Journal of Business 54: 513-533.
23. Katz RW, Murphy AH (eds). 1997. Economic Value of Weather and Climate Forecasts. Cambridge University Press: Cambridge.
24. Leitch G, Tanner JE. 1991. Economic forecast evaluation: profits versus the conventional error measures. American Economic Review 81: 580-590.
25. Luttmer EGJ. 1999. What level of fixed costs can reconcile consumption and stock returns? Journal of Political Economy 107: 969-997.
26. Murphy AH, Dann H. 1985. Forecast evaluation. In Probability, Statistics, and Decision Making in the Atmospheric Sciences, Murphy AH, Katz RW (eds). Westview: Boulder, CO; 379-437.
27. Palmer TN, Brankovic C, Richardson DS. 1998. A probability and decision model analysis of PROVOST seasonal multi-model ensemble interpretation. Unpublished manuscript, European Centre for Medium Range Weather Forecasts, Shinfield Park, Reading, UK.
28. Peirce CS. 1884. The numerical measure of the success of predictions. Science 4: 453-454.
29. Pesaran MH, Timmermann A. 1992. A simple nonparametric test of predictive performance. Journal of Business and Economic Statistics 10: 461-465.
30. Pesaran MH, Timmermann A. 1994. Forecasting stock returns. An examination of stock market trading in the presence of transaction costs. Journal of Forecasting 13: 330-365.
31. Pesaran MH, Timmermann A. 1995. The robustness and economic significance of predictability of stock returns. Journal of Finance 50: 1201-1228.
32. Pesaran MH, Timmermann A. 2000. Recursive modelling approach to predicting UK stock returns. The Economic Journal 110: 159-191.
33. Richardson DS. 1998. Skill and relative economic value of the ECMWF ensemble prediction system. Research Department, Technical Memorandum No. 262, European Centre for Medium-Range Weather Forecasts, Shinfield Park, Reading, UK.
34. Skouras S. 1998. Risk neutral forecasting. EUI Working Papers, Eco No. 98/40, European University Institute.
35. Stewart TR. 1997. Forecast value: descriptive decision studies. In Economic Value of Weather and Climate Forecasts, Katz RW, Murphy AH (eds). Cambridge University Press: New York.
36. Stock JH, Watson MW. 1993. A procedure for predicting recessions with leading indicators; econometric issues and recent experience. In Business Cycles, Indicators, and Forecasting, Stock JH, Watson MW (eds). National Bureau of Economic Research, Studies in Business Cycles, Volume 28, University of Chicago Press: Chicago.
37. Theil H. 1960. Economic Forecasts and Policy, 2nd edition. North-Holland: Amsterdam.
38. Weiss AA. 1996. Estimating time series models using the relevant cost function. Journal of Applied Econometrics 11: 539-560.
39. West KD, Edison HJ, Cho D. 1993. A utility-based comparison of some models of exchange rate volatility. Journal of International Economics 35: 23-45.
40. Wilks DS. 1995. Statistical Methods in the Atmospheric Sciences. Academic Press: New York.
41. White DJ. 1966. Forecasts and decision making. Journal of Mathematical Analysis and Applications 14: 163-173.