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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| Main Authors: | , , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2024
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| Subjects: | |
| 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 |