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DC Element | Wert | Sprache |
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dc.contributor.author | Demetrescu, Matei | - |
dc.contributor.author | Hanck, Christoph | - |
dc.contributor.author | Kruse, Robinson | - |
dc.date.accessioned | 2021-03-05T10:44:34Z | - |
dc.date.available | 2021-03-05T10:44:34Z | - |
dc.date.issued | 2021 | - |
dc.identifier.uri | http://hdl.handle.net/2003/40065 | - |
dc.identifier.uri | http://dx.doi.org/10.17877/DE290R-21945 | - |
dc.description.abstract | In many forecast evaluation applications, standard tests (e.g., Diebold and Mariano, 1995) as well as tests allowing for time-variation in relative forecast ability (e.g., Giacomini and Rossi, 2010) build on heteroskedasticity-and-autocorrelation consistent (HAC) covariance estimators. Yet, the finite-sample performance of these asymptotics is often poor. "Fixed-b" asymptotics (Kiefer and Vogelsang, 2005), used to account for long-run variance estimation, improve finitesample performance under homoskedasticity, but lose asymptotic pivotality under time-varying volatility. Moreover, loss of pivotality due to time-varying volatility is found in the standard HAC framework in certain cases as well. We prove a wild bootstrap implementation to restore asymptotically pivotal inference for the above and new CUSUM- and Cramér-von Mises based tests in a fairly general setup, allowing for estimation uncertainty from either a rolling window or a recursive approach when fixed-b asymptotics are adopted to achieve good finite-sample performance. We then investigate the (time-varying) performance of professional forecasters relative to naive no-change and model-based predictions in real-time. We exploit the Survey of Professional Forecasters (SPF) database and analyze nowcasts and forecasts at different horizons for output and inflation. We find that not accounting for time-varying volatility seriously affects outcomes of tests for equal forecast ability: wild bootstrap inference typically yields convincing evidence for advantages of the SPF, while tests using non-robust critical values provide remarkably less. Moreover, we find significant evidence for time-variation of relative forecast ability, the advantages of the SPF weakening considerably after the "Great Moderation". | en |
dc.language.iso | en | de |
dc.relation.ispartofseries | Discussion Paper / SFB823;6/2021 | - |
dc.subject | forecast evaluation | en |
dc.subject | bootstrap | en |
dc.subject | structural breaks | en |
dc.subject | HAC estimation | en |
dc.subject | hypothesis testing | en |
dc.subject.ddc | 310 | - |
dc.subject.ddc | 330 | - |
dc.subject.ddc | 620 | - |
dc.title | Robust inference under timevarying volatility: A real-time evaluation of professional forecasters | en |
dc.type | Text | de |
dc.type.publicationtype | workingPaper | de |
dcterms.accessRights | open access | - |
eldorado.secondarypublication | false | de |
Enthalten in den Sammlungen: | Sonderforschungsbereich (SFB) 823 |
Dateien zu dieser Ressource:
Datei | Beschreibung | Größe | Format | |
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DP_0621_SFB823_Demetrescu_Hanck_Kruse.pdf | DNB | 1.14 MB | Adobe PDF | Öffnen/Anzeigen |
Diese Ressource ist urheberrechtlich geschützt. |
Diese Ressource ist urheberrechtlich geschützt.
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