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Assessing point forecast accuracy by stochastic loss distance

Diebold, Francis X.; Shin, Minchul - In: Economics Letters 130 (2015) C, pp. 37-38

We explore the evaluation (ranking) of point forecasts by a “stochastic loss distance” (SLD) criterion, under which we prefer forecasts with loss distributions F(L(e)) “close” to the unit step function at 0. We show that, surprisingly, ranking by SLD corresponds to ranking by expected loss.

Persistent link: https://www.econbiz.de/10011263440

Fractional integration and interval prediction

Diebold, Francis X.; Lindner, Peter - In: Economics Letters 50 (1996) 3, pp. 305-313

Persistent link: https://www.econbiz.de/10005296385

On the power of Dickey-Fuller tests against fractional alternatives

Diebold, Francis X.; Rudebusch, Glenn D. - In: Economics Letters 35 (1991) 2, pp. 155-160

Persistent link: https://www.econbiz.de/10005296926

The exact initial covariance matrix of the state vector of a general MA(q) process

Diebold, Francis X. - In: Economics Letters 22 (1986) 1, pp. 27-31

Persistent link: https://www.econbiz.de/10005307445

Exact maximum-likelihood estimation of autoregressive models via the Kalman filter

Diebold, Francis X. - In: Economics Letters 22 (1986) 2-3, pp. 197-201

Persistent link: https://www.econbiz.de/10005361912