1,638 research outputs found
Combining forecasts : forty years later
No full textThis article is dedicated to the memory of Clive Granger, a founding editor of this journal. Its title echoes the title of his invited review article in a special issue of the Journal of Forecasting in 1989. That issue marked the twentieth anniversary of the publication of his article with John Bates, which is widely regarded as the seminal article in the field of forecast combination. This article returns to two of the topics in ‘Combining forecasts – twenty years later’ that are of much current interest, namely the impact of forecasters’ different information sets on the original point forecast combination result, and properties of different methods of combining density forecasts. A parallel result to his inefficiency-of-mean-forecasts result for point forecasts is seen to apply to density forecasts, where logarithmic combination is shown to have some advantage over linear combination
Chi-squared tests of interval and density forecasts, and the Bank of England's fan charts
No full textThis paper reviews recently proposed likelihood ratio tests of goodness-of-fit and independence of interval forecasts. It recasts them in the framework of Pearson chi-squared statistics, and extends them to density forecasts. Two further recent developments are also incorporated, namely a more informative decomposition of the goodness-of-fit statistic, and the calculation of exact P-values. Examples considered are the US Survey of Professional Forecasters density forecasts of inflation and the Bank of England fan charts. This first evaluation of the Bank forecasts finds that the fan charts fan out too quickly, and the excessive concern with the upside risks was not justified.
Book Review of Kenneth F. McCallion, Shoreham and the Rise and Fall of the Nuclear Power Industry
No full textReview of Kenneth F. McCallion, Shoreham and the Rise and Fall of the Nuclear Power Industry (Praeger 1995). About the author, acknowledgements, foreword by Irving Like, index, preface, prologue, selected bibliography. LC 94- 32930; ISBN 0-275-94299-6 [221 pp. Cloth $55.00. 88 Post Road West, Westport CT 06881.
The properties of some goodness-of-fit tests
No full textThe properties of Pearson’s goodness-of-fit test, as used in density forecast evaluation, income distribution analysis and elsewhere, are analysed. The components-of-chi-squared or “Pearson analog” tests of Anderson (1994) are shown to be less generally applicable than was originally claimed. For the case of equiprobable classes, where the general components tests remain valid, a Monte Carlo study shows that tests directed towards skewness and kurtosis may have low power, due to differences between the class boundaries and the intersection points of the distributions being compared. The power of individual component tests can be increased by the use of nonequiprobable classes
Book Review: Boots and Suits: Historical Cases and Contemporary Lessons in Military Diplomacy
No full textAuthor: Philip S. Kosnett (editor)
Reviewed by Kenneth Weisbrode, assistant professor of history, Bilkent University
Historian and professor Kenneth Weisbrode reviews retired US ambassador Philip S. Kosnett’s anthology on “just how contested, and how significant,” military diplomacy is. After highlighting the value of General Kenneth F. McKenzie’s (US Marine Corps, retired) instructive foreword, which defines military diplomacy, Weisbrode outlines the book’s range of case studies across history (from the Confederacy to Afghanistan), author perspectives (“academics and government officials”), and subject matter (“strategy, operations, and tactics”). He distills some of the book’s essential policy lessons for readers and notes the book’s wide-ranging utility for “teachers, students, and aspiring (or even veteran) military diplomats.”https://press.armywarcollege.edu/parameters_bookshelf/1036/thumbnail.jp
Density Forecasting: A Survey
No full textA density forecast of the realization of a random variable at some future time is an estimate of the probability distribution of the possible future values of that variable. This article presents a selective survey of applications of density forecasting in macroeconomics and finance, and discusses some issues concerning the production, presentation and evaluation of density forecasts.
THE PROPERTIES OF SOME GOODNESS-OF-FIT TESTS
No full textThe properties of Pearson’s goodness-of-fit test, as used in density forecast evaluation, income distribution analysis and elsewhere, are analysed. The components-of-chi-squared or “Pearson analog” tests of Anderson (1994) are shown to be less generally applicable than was originally claimed. For the case of equiprobable classes, where the general components tests remain valid, a Monte Carlo study shows that tests directed towards skewness and kurtosis may have low power, due to differences between the class boundaries and the intersection points of the distributions being compared. The power of individual component tests can be increased by the use of nonequiprobable classes.Pearson’s Goodness-of-fit test ; Component tests ; Distributional assumptions ; Monte Carlo ; Normality ; Nonequiprobable partitions
Uncertainty and disagreement in economic prediction : the Bank of England Survey of External Forecasters
No full textThis article introduces a new source of survey data, namely the Bank of England Survey of External Forecasters. The survey collects point and density forecasts of inflation and GDP growth, and hence offers the opportunity of constructing direct measures of uncertainty. We present a simple statistical framework in which to define and interrelate measures of uncertainty and disagreement. The resulting measures are compared with other direct measures of uncertainty, nationally and internationally. A significant, sustained reduction in inflation uncertainty followed the 1997 granting of operational independence to the Bank of England to pursue a monetary policy of inflation targeting.Forecast surveys ; point forecasts ; density forecasts ; uncertainty ; disagreement
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