| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5058304 | Economics Letters | 2016 | 5 Pages |
Abstract
We propose autocorrelation-robust asymptotic variances of the Brier score and Brier skill score, which are generally applicable in circumstances with weak serial correlation. An empirical application in macroeconomics underscores 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.
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Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Kajal Lahiri, Liu Yang,