Template-type: ReDIF-Paper 1.0
Author-Name: Francisco Javier Eransus
Author-Workplace-Name: Facultad de Ciencias Económicas y Empresariales. Universidad Complutense de Madrid.
Author-Name: Alfonso Novales Cinca
Author-Email: anovales@ccee.ucm.es
Author-Person: pno7 
Author-Homepage: https://www.ucm.es/fundamentos-analisis-economico2/novales-cinca,-alfonso
Author-Workplace-Name: Departamento de Fundamentos del Análisis Económico II (Economía Cuantitativa). Universidad Complutense de 
	Madrid.
Author-Workplace-Homepage: https://www.ucm.es/fundamentos-analisis-economico2
Title: A statistical test for forecast evaluation under a discrete loss function
Abstract: We propose a new approach to evaluating the usefulness of a set of forecasts, based on the use of a discrete loss 
	function de…ned on the space of data and forecasts. Existing procedures for such an evaluation either do not allow for 
	formal testing, or use tests statistics based just on the frequency distribution of (data, forecasts)-pairs. They can 
	easily lead to misleading conclusions in some reasonable situations, because of the way they formalize the underlying 
	null hypothesis that ‘the set of forecasts is not useful.’ Even though the ambiguity of the underlying null hypothesis 
	precludes us from performing a standard analysis of the size and power of the tests, we get results suggesting that the 
	proposed DISC test performs better than its competitors.
Classification-JEL: C12, C52, C53
Keywords: Forecasting Evaluation, Loss Function.
Length: 19 pages 
Creation-Date: 2014 
Number: 2014-24
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1424.txt
File-URL: https://eprints.ucm.es/id/eprint/26435/1/1424.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:1424