Equal predictive ability tests based on panel data with applications to OECD and IMF forecasts

Equal predictive ability tests based on panel data with applications to OECD and IMF forecasts

We propose two types of equal predictive ability (EPA) tests with panels to compare the predictions made by two forecasters. The first type, S-statistics, focuses on the overall EPA hypothesis, which states that the EPA holds, on average, over all panel units and over time. The second type, C-statis...

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Bibliographic Details
Main Authors: AKGUN, Oguzhan, PIROTTE, Alain, URGA, Giovanni, YANG, Zhenlin
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2024
Subjects:
Cross-sectional dependence
Forecast evaluation
Hypothesis testing
Econometrics
Economic Theory
Online Access:https://ink.library.smu.edu.sg/soe_research/2674
https://ink.library.smu.edu.sg/context/soe_research/article/3673/viewcontent/Equal_Predictive_Ability_Tests_sv.pdf
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Institution: Singapore Management University
Language: English

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https://ink.library.smu.edu.sg/soe_research/2674
https://ink.library.smu.edu.sg/context/soe_research/article/3673/viewcontent/Equal_Predictive_Ability_Tests_sv.pdf

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