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...

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...

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...