Replication code for Gneiting and Resin (2021)

This repository provides replication code for the article “Regression Diagnostics meets Forecast Evaluation: Conditional Calibration, Reliability Diagrams, and Coefficient of Determination” by Tilmann Gneiting and Johannes Resin (arXiv:2108.03210).

Required packages

library(openxlsx)
library(RColorBrewer)
library(GoFKernel)
library(isotone)
library(quantreg)

(Down)load the data

source("load_data.R")

Download and load the data. This will save some files in the working directory.

The following data is download:

• Data for the butterfly population size example from Tredennick et al. (2021) available at https://doi.org/10.5281/zenodo.4311358
• The Bank of England forecasts of CPI inflation rates available at https://www.bankofengland.co.uk/-/media/boe/files/monetary-policy-report/2021/february/mpr-february-2021-chart-slides-and-data.zip
• Historical quarterly CPI inflation rates published by the UK Office for National Statistics (ONS) available at https://www.ons.gov.uk/economy/inflationandpriceindices/timeseries/d7g7

Load necessary functions and variables

source("functions.R")

Plot figures from main text and supplement

source("figures.R")

A new folder ‘figs’ is created in the working directory and all figures are saved there as png files.

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