We apply fixed-b and fixed-m asymptotics to tests of equal predictive accuracy and of encompassing for survey density forecasts. We verify in an original Monte Carlo design that fixed-smoothing asymptotics delivers correctly sized tests in this framework, even when only a small number of out of sample observations is available. We use the proposed density forecast comparison tests with fixed-smoothing asymptotics to assess the predictive ability of density forecasts from the European Central Bank’s Survey of Professional Forecasters (ECB SPF). We find an improvement in the relative predictive ability of the ECB SPF since 2010, suggesting a change in the forecasting practice after the financial crisis.

Survey density forecast comparison in small samples / L. Coroneo, F. Iacone, F. Profumo. - In: INTERNATIONAL JOURNAL OF FORECASTING. - ISSN 0169-2070. - (2024), pp. 1-19. [Epub ahead of print] [10.1016/j.ijforecast.2023.12.007]

Survey density forecast comparison in small samples

F. Iacone
Secondo
;
2024

Abstract

We apply fixed-b and fixed-m asymptotics to tests of equal predictive accuracy and of encompassing for survey density forecasts. We verify in an original Monte Carlo design that fixed-smoothing asymptotics delivers correctly sized tests in this framework, even when only a small number of out of sample observations is available. We use the proposed density forecast comparison tests with fixed-smoothing asymptotics to assess the predictive ability of density forecasts from the European Central Bank’s Survey of Professional Forecasters (ECB SPF). We find an improvement in the relative predictive ability of the ECB SPF since 2010, suggesting a change in the forecasting practice after the financial crisis.
survey density forecast comparison; ECB SPF; Diebold-Mariano test; forecast encompassing; fixed-smoothing asymptotics
Settore SECS-P/05 - Econometria
Settore SECS-S/03 - Statistica Economica
2024
25-gen-2024
Article (author)
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2434/1021425
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