Coroneo, Laura orcid.org/0000-0001-5740-9315, Iacone, Fabrizio orcid.org/0000-0002-2681-9036 and Profumo, Fabio orcid.org/0000-0001-7742-9532 (Accepted: 2023) Survey density forecast comparison in small samples. International journal of forecasting. ISSN 0169-2070 (In Press)
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.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | This is an author-produced version of the published paper. Uploaded in accordance with the publisher’s self-archiving policy. Further copying may not be permitted; contact the publisher for details. |
Dates: |
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Institution: | The University of York |
Academic Units: | The University of York > Faculty of Social Sciences (York) > Economics and Related Studies (York) The University of York > Faculty of Sciences (York) > Mathematics (York) |
Depositing User: | Pure (York) |
Date Deposited: | 20 Dec 2023 10:00 |
Last Modified: | 26 Mar 2024 10:20 |
Published Version: | https://doi.org/10.1016/j.ijforecast.2023.12.007 |
Status: | In Press |
Refereed: | Yes |
Identification Number: | https://doi.org/10.1016/j.ijforecast.2023.12.007 |