Coroneo, Laura orcid.org/0000-0001-5740-9315 and Iacone, Fabrizio orcid.org/0000-0002-2681-9036 (2020) Comparing predictive accuracy in small samples using fixed-smoothing asymptotic. Journal of Applied Econometrics. pp. 391-405. ISSN 0883-7252
Abstract
We consider fixed-smoothing asymptotics for the Diebold and Mariano (1995) test of predictive accuracy. We show that this approach delivers predictive accuracy tests that are correctly sized even when only a small number of out of sample observations is available. We apply the fixed-smoothing asymptotics to the Diebold and Mariano (1995) test to evaluate the predictive accuracy of the Survey of Professional Forecasters (SPF) and of the ECB Survey of Professional Forecasters (ECB SPF) against a simple random walk. Our results show that the predictive abilities of the SPF and of the ECB SPF were partially spurious.
Metadata
Item Type: | Article |
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Authors/Creators: |
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Copyright, Publisher and Additional Information: | © 2020 The Authors |
Keywords: | Diebold and Mariano test,long run variance estimation,fixed-smoothing asymptotics,Heteroskedasticity-Autocorrelation Robust (HAR) inference,SPF |
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) |
Funding Information: | Funder Grant number ECONOMIC AND SOCIAL RESEARCH COUNCIL (ESRC) ES/K001345/1 |
Depositing User: | Pure (York) |
Date Deposited: | 21 Jan 2020 17:20 |
Last Modified: | 23 Nov 2024 00:35 |
Published Version: | https://doi.org/10.1002/jae.2756 |
Status: | Published |
Refereed: | Yes |
Identification Number: | 10.1002/jae.2756 |
Related URLs: | |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:155897 |
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Description: Comparing predictive accuracy in small samples usingfixed-smoothing asymptotics
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