Are Some Forecasters Really Better than Others? A Note

被引：0
|
作者：
Hounyo, Ulrich [1 ,2 ]
Lahiri, Kajal [3 ]
机构：
[1] SUNY Albany, Dept Econ, Albany, NY 12222 USA
[2] CREATES, Albany, NY 12203 USA
[3] SUNY Albany, Dept Econ, Econ, Albany, NY USA
来源：
JOURNAL OF MONEY CREDIT AND BANKING | 2023年 / 55卷 / 2-3期
关键词：
cross-sectional dependence; forecasting; serial correlation; SPF; unbalanced panel; wild bootstrap; BOOTSTRAP;
D O I：
10.1111/jmcb.12925
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
In this paper, we use bootstrap approach to test the null hypothesis that all forecasters in the U.S. Surveys of Professional Forecasters (SPF) have equal ability. Our bootstrap procedure captures any potential cross-sectional and serial correlation in the forecast errors while preserving the unbalanced nature of the panel data. Once we account for the presence of cross-sectional and serial correlation in the forecast errors while resampling, we find convincing evidence that some individuals really are better than others-this is in sharp contrast to the findings of D'Agostino et al. (2012).
引用
收藏
页码：577 / 593
页数：17
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