A New Goodness-of-Fit Test for Event Forecasting and Its Application to Credit Defaults

• 成果类型: Article
• 署名作者: Bloechlinger, Andreas; Leippold, Markus
• 署名单位: University of Zurich
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.1100.1283
• 发表日期: 2011
• 页码: 487-505
• 关键词: out-of-sample validation; PROBABILITY CALIBRATION; Hosmer-Lemeshow statistic; Bernoulli mixture models; Credit risk

摘要

We develop a new goodness-of-fit test for validating the performance of probability forecasts. Our test statistic is particularly powerful under sparseness and dependence in the observed data. To build our test statistic, we start from a formal definition of calibrated forecasts, which we operationalize by introducing two components. The first component tests the level of the estimated probabilities; the second validates the shape, measuring the differentiation between high and low probability events. After constructing test statistics for both level and shape, we provide a global goodness-of-fit statistic, which is asymptotically chi(2) distributed. In a simulation exercise, we find that our approach is correctly sized and more powerful than alternative statistics. In particular, our shape statistic is significantly more powerful than the Kolmogorov-Smirnov test. Under independence, our global test has significantly greater power than the popular Hosmer-Lemeshow's chi(2) test. Moreover, even under dependence, our global test remains correctly sized and consistent. As a timely and important empirical application of our method, we study the validation of a forecasting model for credit default events.