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

• Main Authors: AKGUN, Oguzhan, PIROTTE, Alain, URGA, Giovanni, YANG, Zhenlin
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2024
• 主題: Cross-sectional dependence; Forecast evaluation; Hypothesis testing; Econometrics; Economic Theory
• 在線閱讀: 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
• 機構: Singapore Management University

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...