2013
DOI: 10.1016/j.ijforecast.2012.07.004
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Evaluating probability forecasts for GDP declines using alternative methodologies

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Cited by 59 publications
(68 citation statements)
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“…Then we forecast K periods ahead (K from 1 to 8), considering levels of cutoff probabilities that range from 0.005 to 1 and that vary in each step by 0.005. If the forecast value of recession is less that the cutoff probability that we are considering 12 Lahiri & Wang (2013) stress that often-conventional goodness-of-fit statistics in probabilistic models, such as Pseudo R 2 , among others fail to identify the type of I and type of II errors in predicting the event of interest. Lahiri and Wang examine the quality of probability forecasts in terms of calibration, resolution and alternative variance decompositions.…”
Section: Forecasting Methodologymentioning
confidence: 99%
“…Then we forecast K periods ahead (K from 1 to 8), considering levels of cutoff probabilities that range from 0.005 to 1 and that vary in each step by 0.005. If the forecast value of recession is less that the cutoff probability that we are considering 12 Lahiri & Wang (2013) stress that often-conventional goodness-of-fit statistics in probabilistic models, such as Pseudo R 2 , among others fail to identify the type of I and type of II errors in predicting the event of interest. Lahiri and Wang examine the quality of probability forecasts in terms of calibration, resolution and alternative variance decompositions.…”
Section: Forecasting Methodologymentioning
confidence: 99%
“…The reader is referred to Croushore (1993) for a general introduction to SPF. Lahiri and Wang (2013) used a battery of diagnostic tools including the ROC curve to examine the value of these forecasts over other horizons.…”
Section: Application To Spf Probability Forecastsmentioning
confidence: 99%
“…Berge and Jordà (2011), utilizing ROC curve, investigated certain issues with the business cycle indicators defined by the National Bureau of Economic Research (NBER) in terms of their skill in classifying economic activity into recessions and expansions. Lahiri and Wang (2013) noted that one important but overlooked point in forecasting relatively uncommon events is the role of a threshold or cut-off, and usual forecasting skill measures combine the true accuracy with the implicit threshold. Drehmann and Juselius (2012) used ROC analysis to assess the performance of early warn-ing indicators for emerging financial vulnerabilities in the banking sectors.…”
Section: Introductionmentioning
confidence: 99%
“…During this period, the fraction of real GDP declines is about 12.9%, meaning that it is a relatively uncommon event. Lahiri and Wang (2013) carried out a comprehensive evaluation on the accuracy of these subjective forecasts.…”
Section: An Empirical Illustrationmentioning
confidence: 99%