Published in:CESifo Working Paper Series ; No. 5290
Extent:
1 Online-Ressource (18 p)
Language:
English
DOI:
10.2139/ssrn.2593720
Identifier:
Origination:
University thesis:
Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 1, 2015 erstellt
Description:
We derive autocorrelation-robust asymptotic variances of the Brier score and Brier skill score, which are generally applicable in circumstances with weak serial correlation. A simulation experiment and an empirical application from macroeconomics underscore the importance of taking care of serial correlation. We find that the conventional variances are too conservative to account for the sampling variability in estimating the Brier (skill) score