density forecasts, forecast comparison, forecast combination, Kullback-Leibler information criterion

Evaluating, comparing and combining density forecasts using the KLIC with an application to the Bank of England and NIESR ÔfanÕ charts of inflation
Publication date: 2 Mar 2005 | Publication type: NIESR Discussion Paper | Authors: Mitchell, J | NIESR discussion paper number: 253
This paper proposes and analyses the Kullback-Leibler Information Criterion (KLIC) as a unified statistical tool to evaluate, compare and combine density forecasts. Use of the KLIC is particularly attractive, as well as operationally convenient, given its equivalence with the widely used Berkowitz...