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In this paper we conduct a Monte Carlo study to determine the power of Pearson’s overall goodness-of-fit test as well as the “Pearson analog” tests (see Anderson (1994)) to detect rejections due to shifts in variance, skewness and kurtosis, as we vary the number and location of the...
Persistent link: https://www.econbiz.de/10005368561
The properties of Pearson’s goodness-of-fit test, as used in density forecast evaluation, income distribution analysis and elsewhere, are analysed. The components-of-chi-squared or “Pearson analog” tests of Anderson (1994) are shown to be less generally applicable than was originally...
Persistent link: https://www.econbiz.de/10005368680
This article introduces a new source of survey data, namely the Bank of England Survey of External Forecasters. The survey collects point and density forecasts of inflation and GDP growth, and hence offers the opportunity of constructing direct measures of uncertainty. We present a simple...
Persistent link: https://www.econbiz.de/10005368746
This article provides a first analysis of the forecasts of inflation and GDP growth obtained from the Bank of England's Survey of External Forecasters, considering both the survey average forecasts published in the quarterly Inflation Report, and the individual survey responses, recently made...
Persistent link: https://www.econbiz.de/10009468941
This article provides a first analysis of the forecasts of inflation and GDP growth obtained from the Bank of England's Survey of External Forecasters, considering both the survey average forecasts published in the quarterly Inflation Report, and the individual survey responses, recently made...
Persistent link: https://www.econbiz.de/10009485352
Persistent link: https://www.econbiz.de/10005428856
Persistent link: https://www.econbiz.de/10006878527
Persistent link: https://www.econbiz.de/10006755279
This article provides a practical evaluation of some leading density forecast scoring rules in the context of forecast surveys. We analyse the density forecasts of UK inflation obtained from the Bank of England’s Survey of External Forecasters, considering both the survey average forecasts...
Persistent link: https://www.econbiz.de/10010577339
Persistent link: https://www.econbiz.de/10005192510