murphydiagram (version 0.12.2)

Data sets: Data sets with forecasts and realizations

Description

Data sets with forecasts and corresponding realizations, as used in the paper by Ehm et al (2016). In the inflation_mean data, the outcome variable is continuous; in the recession_probability data, the outcome is binary.

Usage

data(inflation_mean)
data(recession_probability)

Format

Both data sets are data frames, with the following layout: First column contains the quarterly date, in string format (e.g. "1998Q4" for the fourth quarter of 1998). The second and third columns contain forecasts by two alternative methods. The fourth column contains realizations.

References

Ehm, W., Gneiting, T., Jordan, A. and Krueger, F. (2016): Of Quantiles and Expectiles: Consistent Scoring Functions, Choquet Representations, and Forecast Rankings. Journal of the Royal Statistical Society (Series B) 78, 1-29. 10.1111/rssb.12154 (open access).

Examples

# NOT RUN {
# }
# NOT RUN {
# Load inflation forecasts
data(inflation_mean)

# Make numeric time axis
tm <- as.numeric(substr(inflation_mean$dt, 1, 4)) + 
      0.25*(as.numeric(substr(inflation_mean$dt, 6, 6))-1)

# Plot
matplot(x = tm, y = inflation_mean[,2:4], type = "l", bty = "n",
        xlab = "Time", ylab= "Inflation (percent)", col = 3:1)
legend("topright", legend = c("SPF", "Michigan", "Actual"), fill = 3:1, bty = "n")

# }
# NOT RUN {
# }