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An evaluation of tests of distributional forecasts

✍ Scribed by Pablo Noceti; Jeremy Smith; Stewart Hodges

Publisher
John Wiley and Sons
Year
2003
Tongue
English
Weight
80 KB
Volume
22
Category
Article
ISSN
0277-6693

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✦ Synopsis

Abstract

One popular method for testing the validity of a model's forecasts is to use the probability integral transforms (pits) of the forecasts and to test for departures from the dual hypotheses of independence and uniformity, with departures from uniformity tested using the Kolmogorov–Smirnov (KS) statistic. This paper investigates the power of five statistics (including the KS statistic) to reject uniformity of the pits in the presence of misspecification in the mean, variance, skewness or kurtosis of the forecast errors. The KS statistic has the lowest power of the five statistics considered and is always dominated by the Anderson and Darling statistic. Copyright Β© 2003 John Wiley & Sons, Ltd.

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