- Home
- Publications
- Evaluating Density Forecasts: Forecast Combinations, Model Mixtures, Calibration And Sharpness
Evaluating density forecasts: forecast combinations, model mixtures, calibration and sharpness
Authors
External Authors
Wallis, K.F.
Related Themes
Macro-Economic Modelling and ForecastingJEL Code
C22, C53
Paper Category Number
320
In a recent article Gneiting, Balabdaoui and Raftery (JRSSB, 2007) propose the criterion of sharpness for the evaluation of predictive distributions or density forecasts. They motivate their proposal by an example in which standard evaluation procedures based on probability integral transforms cannot distinguish between the ideal forecast and several competing forecasts. In this paper we show that their example has some unrealistic features from the perspective of the time-series forecasting literature, hence it is an insecure foundation for their argument that existing calibration procedures are inadequate in practice. We present an alternative, more realistic example in which relevant statistical methods, including information-based methods, provide the required discrimination between competing forecasts. We conclude that there is no need for a subsidiary criterion of sharpness.
Related Blog Posts
What is the Current State of the UK Economy?
Paula Bejarano Carbo
Stephen Millard
26 Feb 2024
7 min read
CPI Inflation Rose in December 2023, But is Likely to Fall Below 3 per cent by May
Huw Dixon
17 Jan 2024
7 min read
Related Projects
Related News
Why it’s not worth worrying that the UK has technically entered a recession
26 Feb 2024
4 min read
1.2 million UK Households Insolvent This Year as a Direct Result of Higher Mortgage Repayments
22 Jun 2023
2 min read
The Key Steps to Ensuring Normal Service is Quickly Resumed in the Economy
13 Feb 2023
4 min read
Related Publications
The Nature of the Inflationary Surprise in Europe and the USA
21 Mar 2024
Discussion Papers
UK Economy on the Road to Recovery in 2024 Following the Mild Recession
13 Mar 2024
GDP Trackers