Density forecast comparison in small samples

Laura Coroneo, Fabrizio Iacone and Fabio Profumo

Discussion Papers from Department of Economics, University of York

Abstract: We apply fixed-b and fixed-m asymptotics to tests of equal predictive accuracy and of encompassing for density forecasts. We verify in an original Monte Carlo design that fixed-smoothing asymptotics delivers correctly sized tests in this framework, even when only a small number of out of sample observations is available. We use the proposed density forecast comparison tests with fixed-smoothing asymptotics to assess the predictive ability of density forecasts from the European Central Bank's Survey of Professional Forecasters (ECB SPF).

Keywords: density forecast comparison; ECB SPF; Diebold-Mariano test; forecast encompassing; fixed-smoothing asymptotics (search for similar items in EconPapers)
JEL-codes: C12 C22 E17 (search for similar items in EconPapers)
Date: 2022-06
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-for
References: Add references at CitEc
Citations:

Downloads: (external link)
https://www.york.ac.uk/media/economics/documents/discussionpapers/2022/2203.pdf Main text (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:yor:yorken:22/03

Access Statistics for this paper

More papers in Discussion Papers from Department of Economics, University of York Department of Economics and Related Studies, University of York, York, YO10 5DD, United Kingdom. Contact information at EDIRC.
Bibliographic data for series maintained by Paul Hodgson ().