Oguzhan Akgun, Alain Pirotte, Giovanni Urga, Zhenlin Yang
arXiv 19 Jul 2025 · Econometrics
arXiv:2507.14621 · PDF · DOI · OpenAlex · Extracted main text
This paper proposes a selective inference procedure for testing equal predictive ability in panel data settings with unknown heterogeneity. The framework allows predictive performance to vary across unobserved clusters and accounts for the data-driven selection of these clusters using the Panel Kmeans Algorithm. A post-selection Wald-type statistic is constructed, and valid $p$-values are derived under general forms of autocorrelation and cross-sectional dependence in forecast loss differentials. The method accommodates conditioning on covariates or common factors and permits both strong and weak dependence across units. Simulations demonstrate the finite-sample validity of the procedure and show that it has very high power. An empirical application to exchange rate forecasting using machine learning methods illustrates the practical relevance of accounting for unknown clusters in forecast evaluation.
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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 | Giacomini \ White (2006) `Tests of conditional predictive ability', Econometrica 74(6), 1545–1578 | 1.000 | 5 | 3 | 100% |
| 2 | Gao, Bien \ Witten (2024) `Selective inference for hierarchical clustering', Journal of the American Statistical Association 119(545), 332–342 | 0.950 | 7 | 4 | 86% |
| 3 | Chen \ Witten (2023) `Selective inference for | 0.811 | 15 | 5 | 53% |
| 4 | Spreng \ Urga (2023) `Combining | 0.811 | 4 | 2 | 100% |
| 5 | Vovk \ Wang (2020) `Combining | 0.794 | 10 | 5 | 50% |
| 6 | Bonhomme \ Manresa (2015) `Grouped patterns of heterogeneity in panel data', Econometrica 83(3), 1147–1184 | 0.769 | 11 | 4 | 45% |
| 7 | Patton \ Weller (2023) `Testing for unobserved heterogeneity via | 0.754 | 14 | 6 | 43% |
| 8 | Vovk, Wang \ Wang (2022) `Admissible ways of merging p-values under arbitrary dependence', The Annals of Statistics 50(1), 351–375 | 0.737 | 4 | 3 | 50% |
| 9 | Chudik, Pesaran \ Tosetti (2011) `Weak and strong cross-section dependence and estimation of large panels', The Econometrics Journal 14(1), C45–C90 | 0.644 | 2 | 2 | 100% |
| 10 | Clark \ McCracken (2013) `Advances in forecast evaluation', Handbook of Economic Forecasting 2, 1107–1201 | 0.644 | 2 | 2 | 100% |
Showing the top 10 of 66 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | Robust Inference Methods for Latent Group Panel Models under Possible Group Non-Separation | 0.405 | 1 | 1 |