Pubblicazioni

Autori:

Buccheri, Giuseppe; Reno', Roberto; Vocalelli, Giorgio

Titolo:

Taking advantage of biased proxies for forecast evaluation

Anno:

2025

Tipologia prodotto:

Articolo in Rivista

Tipologia ANVUR:

Articolo su rivista

Lingua:

Inglese

Referee:

No

Nome rivista:

JOURNAL OF ECONOMETRICS

ISSN Rivista:

0304-4076

Intervallo pagine:

1-48

Parole chiave:

Forecasts comparison; proxies; bias; shrinkage; GDP forecasting; volatility forecasting.

Breve descrizione dei contenuti:

This paper rehabilitates biased proxies for the assessment of the predictive accuracy of competing forecasts. By relaxing the ubiquitous assumption of proxy unbiasedness adopted in the theoretical and empirical literature, we show how to optimally combine (possibly) biased proxies to maximize the probability of inferring the ranking that would be obtained using the true latent variable, a property that we dub proxy reliability. Our procedure still preserves the robustness of the loss function, in the sense of Patton (2011b), and allows testing for equal predictive accuracy, as in Diebold and Mariano (1995). We demonstrate the usefulness of the method with compelling empirical applications on GDP growth, financial market volatility forecasting, and sea surface temperature of the Nino 3.4 region.

Id prodotto:

146661

Handle IRIS:

11562/1166607

ultima modifica:

13 luglio 2025

Citazione bibliografica:

Buccheri, Giuseppe; Reno', Roberto; Vocalelli, Giorgio, Taking advantage of biased proxies for forecast evaluation «JOURNAL OF ECONOMETRICS» , 2025 , pp. 1-48

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