Show simple item record

dc.contributor.authorGranger, Clive W. J.en_GB
dc.contributor.authorPesaran, M. Hashemen_GB
dc.date.accessioned2004-06-16T16:05:52Z
dc.date.available2004-06-16T16:05:52Z
dc.date.created1999-05en_GB
dc.date.issued2004-06-16T16:05:52Z
dc.identifier.urihttp://www.dspace.cam.ac.uk/handle/1810/421
dc.identifier.urihttps://www.repository.cam.ac.uk/handle/1810/421
dc.description.abstractThis paper argues in favour of a closer link between decision and forecast evaluation problems. Although the idea of using decision theory for forecast evaluation appears early in the dynamic stochastic programming literature, and has continued to be used in meteorological forecasts, it is hardly mentioned in standard academic textbooks on economic forecasting. Some of the main issues involved are illustrated in the context of a two-state, two-action decision problem as well as in a more general setting. Relationships between statistical and economic methods of forecast evaluation are discussed and useful links between Kuipers score, used as a measure of forecast accuracy in the meteorology literature, and the market timing tests used in finance, are established. An empirical application to the problem of stock market predictability is also provided, and the conditions under which such predictability could be exploited in the presence of transaction costs are discussed.en_GB
dc.format.extent743564 bytes
dc.format.mimetypeapplication/pdfen_GB
dc.format.mimetypeapplication/pdf
dc.language.isoen_GB
dc.publisherFaculty of Economics
dc.relation.ispartofseriesCambridge Working Papers in Economics
dc.rightsAll Rights Reserveden
dc.rights.urihttps://www.rioxx.net/licenses/all-rights-reserved/en
dc.subjectDecision theory
dc.subjectForecast evaluation
dc.subjectProbabilistsic forecasts
dc.subjectEconomic and statistical measures of forecast accuracy
dc.subjectStock market predictability
dc.subject.classificationClassification-JEL: C12,en_GB
dc.titleEconomic and Statistical Measures of Forecast Accuracyen_GB
dc.typeWorking Paperen
dc.identifier.doi10.17863/CAM.5181


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record