Evaluation of probability forecasts of events
โ Scribed by Yosihiko Ogata
- Book ID
- 113290689
- Publisher
- Elsevier Science
- Year
- 1995
- Tongue
- English
- Weight
- 182 KB
- Volume
- 11
- Category
- Article
- ISSN
- 0169-2070
No coin nor oath required. For personal study only.
๐ SIMILAR VOLUMES
A test of forecast rationality based on the weak eciency of ยฎxed-event forecasts was proposed by Nordhaus (1987). This paper considers the scope for pooling ยฎxed-event forecasts across `events', to deliver more powerful tests of the weak-eciency hypothesis, when only a small number of ยฎxedevent fore
## Abstract In this paper we introduce a new testing procedure for evaluating the rationality of fixedโevent forecasts based on a pseudoโmaximum likelihood estimator. The procedure is designed to be robust to departures in the normality assumption. A model is introduced to show that such departures