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dc.contributor.authorLi, Yushu
dc.contributor.authorAndersson, Lars Jonas
dc.date.accessioned2019-08-07T07:49:14Z
dc.date.available2019-08-07T07:49:14Z
dc.date.created2019-05-03T16:04:03Z
dc.date.issued2019
dc.identifier.issn0277-6693
dc.identifier.urihttp://hdl.handle.net/11250/2607387
dc.description.abstractIn this paper, we propose a likelihood ratio based method to evaluate density forecasts which can jointly evaluate the unconditional forecasted distribution and dependence of the outcomes. Unlike the well‐known Berkowitz test, the proposed method does not requires a parametric specification of time dynamics. We compare our method with the method proposed by several other tests and show that our methodology has very high power against both dependence and incorrect forecasting distributions. Moreover, the loss of power, caused by the non‐parametric nature of the specification of the dynamics, is shown to be small compared to Berkowitz test, even when the parametric form of dynamics is correctly specified in the latter method.nb_NO
dc.language.isoengnb_NO
dc.rightsNavngivelse-Ikkekommersiell 4.0 Internasjonal*
dc.rights.urihttp://creativecommons.org/licenses/by-nc/4.0/deed.no*
dc.subjectdensity forecastingnb_NO
dc.subjectlikely ratio testnb_NO
dc.subjectMarkov chainnb_NO
dc.titleA Likelihood Ratio and Markov Chain Based Method to Evaluate Density Forecastingnb_NO
dc.typeJournal articlenb_NO
dc.typePeer reviewednb_NO
dc.description.versionpublishedVersionnb_NO
dc.subject.nsiVDP::Mathematics and natural science: 400::Mathematics: 410::Statistics: 412nb_NO
dc.subject.nsiVDP::Social science: 200::Economics: 210::Business: 213nb_NO
dc.source.journalJournal of Forecastingnb_NO
dc.identifier.doi10.1002/for.2604
dc.identifier.cristin1695532
dc.relation.projectNorges forskningsråd: 274569nb_NO
cristin.unitcode191,10,0,0
cristin.unitnameInstitutt for foretaksøkonomi
cristin.ispublishedtrue
cristin.fulltextoriginal
cristin.qualitycode1


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Navngivelse-Ikkekommersiell 4.0 Internasjonal
Except where otherwise noted, this item's license is described as Navngivelse-Ikkekommersiell 4.0 Internasjonal