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Density forecast comparison in small samples

Author

Listed:
  • Laura Coroneo
  • Fabrizio Iacone
  • Fabio Profumo
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).

Suggested Citation

  • Laura Coroneo & Fabrizio Iacone & Fabio Profumo, 2022. "Density forecast comparison in small samples," Discussion Papers 22/03, Department of Economics, University of York.
    • Handle: RePEc:yor:yorken:22/03
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    More about this item

    Keywords

    density forecast comparison; ECB SPF; Diebold-Mariano test; forecast encompassing; fixed-smoothing asymptotics;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation: Models and Applications

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