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Andrew J. Patton

Zelter Family Distinguished Professor
Economics
Box 90097, Durham, NC 27708-0097
228F Social Sciences, Box 90097, Durham, NC 27708

Scholarly Works - Book sections


Generalized Forecast Errors, a Change of Measure, and Forecast Optimality

Book section · May 1, 2010 This chapter discusses properties of optimal forecasts under general loss functions, and proposes an interesting change of measure under which minimum mean square error forecast properties can be recovered. The outline of this chapter is as follows. Sectio ... Full text Cite