论文标题
基于面板数据的平等预测能力测试，以及对OECD和IMF预测的应用程序
Equal Predictive Ability Tests Based on Panel Data with Applications to OECD and IMF Forecasts
论文作者
论文摘要
我们提出了两种类型的相等预测能力（EPA）测试，以比较两个预报员的预测。第一类，即$ s $统计量，重点是EPA假设，该假设指出，EPA平均在所有面板单元中和随着时间的推移都持有。第二个称为$ c $统计量，重点介绍了集群的EPA假设，其中EPA共同用于固定数量的面板单元。在弱且强大的横截面依赖性下评估了所提出的测试的渐近特性。广泛的蒙特卡洛模拟表明，即使有关数据中横截面依赖性的信息很少，提出的测试也具有非常好的有限样品特性。提出的框架用于比较经合组织和国际货币基金组织的经济增长预测，并评估IMF的消费者价格通货膨胀预测的绩效。
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.
