| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP13746 |
| DP13746 Comparing Forecasting Performance with Panel Data | |
| Henry Allan Timmermann; Yinchu Zhu | |
| 发表日期 | 2019-05-21 |
| 出版年 | 2019 |
| 语种 | 英语 |
| 摘要 | Abstract This paper develops new methods for testing equal predictive accuracy in panels of forecasts that exploit information in the time series and cross-sectional dimensions of the data. Using a common factor setup, we establish conditions on cross-sectional dependencies in forecast errors which allow us to conduct inference and compare performance on a single cross-section of forecasts. We consider both unconditional tests of equal predictive accuracy as well as tests that condition on the realization of common factors and show how to decompose forecast errors into exposures to common factors and an idiosyncratic variance component. Our tests are demonstrated in an empirical application that compares IMF forecasts of country-level real GDP growth and inflation to private-sector survey forecasts and forecasts from a simple time-series model |
| 主题 | Financial Economics |
| 关键词 | Economic forecasting Panel data Gdp growth Inflation forecasts |
| URL | https://cepr.org/publications/dp13746 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/542611 |
| 推荐引用方式 GB/T 7714 | Henry Allan Timmermann,Yinchu Zhu. DP13746 Comparing Forecasting Performance with Panel Data. 2019. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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