Fabrizio Iacone (University of Milan) on "Comparing predictive accuracy in small samples using fixed-smoothing asymptotics" (with Laura Coroneo)

Speaker:  Fabrizio Iacone - University of Milan
  Wednesday, February 5, 2020 at 12:00 PM Polo Santa Marta, Via Cantarane 24, Sala Vaona
We consider xed-smoothing asymptotics for the Diebold and Mariano (1995) test of predictive accuracy. We show that this approach delivers predictive accuracy tests that are correctly sized even when only a small number of out of sample observations is available.
We apply the fi xed-smoothing asymptotics to the Diebold and Mariano (1995) test to evaluate the predictive accuracy of the Survey of Professional Forecasters (SPF) and of the ECB Survey of Professional Forecasters (ECB SPF) against a simple random walk. Our results
show that the predictive abilities of the SPF and of the ECB SPF were partially spurious.

Programme Director
Francesca Rossi

Publication date
October 21, 2019