Robust Forecasting

• Tác giả: Timothy Christensen, Hyungsik Roger Moon, Frank Schorfheide
• Ngôn ngữ: eng
• Ký hiệu phân loại: 551.63 Weather forecasting and forecasts, reporting and reports
• Thông tin xuất bản: 2020
• Bộ sưu tập: Metadata
• ID: 165542

Tóm tắt

We use a decision-theoretic framework to study the problem of forecasting discrete outcomes when the forecaster is unable to discriminate among a set of plausible forecast distributions because of partial identification or concerns about model misspecification or structural breaks. We derive "robust" forecasts which minimize maximum risk or regret over the set of forecast distributions. We show that for a large class of models including semiparametric panel data models for dynamic discrete choice, the robust forecasts depend in a natural way on a small number of convex optimization problems which can be simplified using duality methods. Finally, we derive "efficient robust" forecasts to deal with the problem of first having to estimate the set of forecast distributions and develop a suitable asymptotic efficiency theory. Forecasts obtained by replacing nuisance parameters that characterize the set of forecast distributions with efficient first-stage estimators can be strictly dominated by our efficient robust forecasts.