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

• المؤلفون الرئيسيون: AKGUN, Oguzhan, PIROTTE, Alain, URGA, Giovanni, YANG, Zhenlin
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2024
• الموضوعات: Cross-sectional dependence; Forecast evaluation; Hypothesis testing; Econometrics; Economic Theory
• الوصول للمادة أونلاين: 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

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...