Survey density forecast comparison in small samples

Laura Coroneo; Fabrizio Iacone; Fabio Profumo

doi:10.1016/j.ijforecast.2023.12.007

Survey density forecast comparison in small samples

Laura Coroneo, Fabrizio Iacone, Fabio Profumo

Research output: Contribution to journal › Article › peer-review

Abstract

We apply fixed-b and fixed-m asymptotics to tests of equal predictive accuracy and of encompassing for survey 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). We find an improvement in the relative predictive ability of the ECB SPF since 2010, suggesting a change in the forecasting practice after the financial crisis.

Original language	English
Pages (from-to)	1486-1504
Number of pages	19
Journal	International journal of forecasting
Volume	40
Issue number	4
DOIs	https://doi.org/10.1016/j.ijforecast.2023.12.007
Publication status	Published - 29 Aug 2024

Bibliographical note

© 2023 International Institute of Forecasters. This is an author-produced version of the published paper. Uploaded in accordance with the publisher’s self-archiving policy. Further copying may not be permitted; contact the publisher for details.

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10.1016/j.ijforecast.2023.12.007

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Cite this

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title = "Survey density forecast comparison in small samples",

abstract = "We apply fixed-b and fixed-m asymptotics to tests of equal predictive accuracy and of encompassing for survey 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{\textquoteright}s Survey of Professional Forecasters (ECB SPF). We find an improvement in the relative predictive ability of the ECB SPF since 2010, suggesting a change in the forecasting practice after the financial crisis.",

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AU - Iacone, Fabrizio

AU - Profumo, Fabio

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