A bootstrap-based efficiency test of growth and inflation forecasts for Germany

Christian Pierdzioch

Economics Letters, 2023, vol. 224, issue C

Abstract: I propose a simple to implement bootstrap-based efficiency (BBE) test to reexamine the efficiency of growth and inflation forecasts for Germany. The BBE test is useful as a test of forecast efficiency when a researcher, as is usually the case, can use a large number of macroeconomic and financial variables to proxy the information set of a forecast producer at the time when a forecast was published. A large number of proxy variables translates into a large number of candidate efficiency-regression models and the decision problem is that it is a priori unclear which model a researcher should choose to test for forecast efficiency. The BBE test solves this decision problem in that it requires a researcher to sample from the set of candidate models and, thereby, makes the decision problem tractable.

Keywords: Forecast efficiency; Bootstrap; Test; Growth; Inflation; Germany (search for similar items in EconPapers)
JEL-codes: E31 E32 E37 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:224:y:2023:i:c:s016517652300054x

DOI: 10.1016/j.econlet.2023.111029

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