Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/208222
Authors: 
Manganelli, Simone
Year of Publication: 
2018
Series/Report no.: 
ECB Working Paper 2188
Abstract: 
A statistical decision rule incorporating judgment does not perform worse than a judgmental decision with a given probability. Under model misspecification, this probability is unknown. The best model is the least misspecified, as it is the one whose probability of underperforming the judgmental decision is closest to the chosen probability. It is identified by the statistical decision rule incorporating judgment with lowest in sample loss. Averaging decision rules according to their asymptotic performance results in decisions which are weakly better than the best decision rule. The model selection criterion is applied to a vector autoregression model for euro area inflation.
Subjects: 
Statistical Decision Theory
Model Selection Criteria
Inflation Forecasting
JEL: 
C1
C11
C12
C13
Persistent Identifier of the first edition: 
ISBN: 
978-92-899-3293-6
Document Type: 
Working Paper

Files in This Item:
File
Size
693.76 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.