Variance and Skewness in Density Predictions : A World GDP Growth Forecast Assessment

Variance and Skewness in Density Predictions : A World GDP Growth Forecast Assessment

The paper introduces a Bayesian cross-entropy forecast (BCEF) procedure to assess the variance and skewness in density forecasting. The methodology decomposes the variance and skewness of the predictive distribution accounting for the shares of selected risk factors. The method assigns probabil...

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Bibliographic Details
Main Author: Mendez-Ramos, Fabian
Format: Working Paper
Published: World Bank, Washington, DC 2020
Subjects:
NON-SYMMETRIC DENSITY FORECAST
FORECAST UNCERTAINTY
FORECASTS
BAYESIAN CROSS-ENTROPY
ECONOMIC GROWTH
IMPLIED VOLATILITY
VARIANCE DECOMPOSITION
SCORING RULES
SKEWNESS
Online Access:http://documents.worldbank.org/curated/en/802551502718519493/Variance-and-Skewness-in-Density-Predictions-A-World-GDP-Growth-Forecast-Assessment
http://hdl.handle.net/10986/33116

Internet

http://documents.worldbank.org/curated/en/802551502718519493/Variance-and-Skewness-in-Density-Predictions-A-World-GDP-Growth-Forecast-Assessment
http://hdl.handle.net/10986/33116

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