Assessing point forecast accuracy by stochastic loss distance

C-Tier
Journal: Economics Letters
Year: 2015
Volume: 130
Issue: C
Pages: 37-38

Authors (2)

Diebold, Francis X. (not in RePEc) Shin, Minchul (Federal Reserve Bank of Philad...)

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

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.

Technical Details

RePEc Handle
repec:eee:ecolet:v:130:y:2015:i:c:p:37-38
Journal Field
General
Author Count
2
Added to Database
2026-01-25