Oguzhan Akgun, Alain Pirotte, Giovanni Urga, Zhenlin Yang
arXiv 5 Mar 2020 · Econometrics · publishedInternational Journal of Forecasting (2023) · 7 citations (OpenAlex)
arXiv:2003.02803 · PDF · DOI · OpenAlex · Extracted main text
We propose two types of equal predictive ability (EPA) tests with panels to compare the predictions made by two forecasters. The first type, namely $S$-statistics, focuses on the overall EPA hypothesis which states that the EPA holds on average over all panel units and over time. The second, called $C$-statistics, focuses on the clustered EPA hypothesis where the EPA holds jointly for a fixed number of clusters of panel units. The asymptotic properties of the proposed tests are evaluated under weak and strong cross-sectional dependence. An extensive Monte Carlo simulation shows that the proposed tests have very good finite sample properties even with little information about the cross-sectional dependence in the data. The proposed framework is applied to compare the economic growth forecasts of the OECD and the IMF, and to evaluate the performance of the consumer price inflation forecasts of the IMF.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Driscoll, J. C., & Kraay, A. C (1998) Consistent covariance matrix estimation with spatially dependent panel data | 1.000 | 5 | 3 | 100% |
| 2 | Kelejian, H. H., & Prucha, I. R (2007) HAC estimation in a spatial framework | 1.000 | 5 | 3 | 100% |
| 3 | Kim, M. S., & Sun, Y (2013) Heteroskedasticity and spatiotemporal dependence robust inference for linear panel models with fixed effects | 1.000 | 5 | 3 | 100% |
| 4 | Bai, J., & Ng, S (2002) Determining the number of factors in approximate factor models | 0.928 | 4 | 4 | 100% |
| 5 | Giacomini, R., & White, H (2006) Tests of conditional predictive ability | 0.843 | 3 | 3 | 100% |
| 6 | Bai, J (2003) Inferential theory for factor models of large dimensions | 0.737 | 3 | 2 | 100% |
| 7 | Chudik, A., Pesaran, M. H., & Tosetti, E (2011) Weak and strong cross-section dependence and estimation of large panels | 0.644 | 2 | 2 | 100% |
| 8 | West, K. D (1996) Asymptotic inference about predictive ability | 0.644 | 2 | 2 | 100% |
| 9 | Jansson, M (2002) Consistent covariance matrix estimation for linear processes | 0.511 | 3 | 2 | 33% |
| 10 | Kelejian, H. H., & Prucha, I. R (1998) A generalized spatial two-stage least squares procedure for estimating a spatial autoregressive model with autoregressive distur… | 0.511 | 3 | 2 | 33% |
Showing the top 10 of 37 scored citations.