07350015%2E2012%2E663250
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We now evaluate the forecast performance of several mod- els for forecasting the quarterly CPI inflation rate at different horizons. The first five models are the ones we
The line labeled test for bias before break point shows the p -values for tests using subsamples that begin in 1971 and end at the date shown on the horizontal axis.. The line
We then use fluctuation rationality tests, proposed by Rossi and Sekh- posyan ( 2011 ), to test for forecast rationality, while, at the same time, being robust to instabilities..
Summarizing, Patton, and Timmermann (2011) have pro- posed a set of interesting and useful tests for forecast rationality or optimality under squared error loss, including an easily
We start from the simplest case, labeled FC-C, where factor and idiosyncratic volatilities are constant over the sample period (at high and low frequencies), and restrictions
Finite sample rejection probabilities for testing predictive ability for three tests at nominal size 5%: Reality Check (RC) test of White (2000), Superior Predictive Ability (SPA)
We also consider size-adjusted power. Apart from the Cauchy case, the size distortions when fixed- b critical values are used were small for all of the tests except the MR/S test.
First, the performance of the DFM-5 and shrinkage forecasts, relative to the AR(4), is substantially better when the pre-Great Moderation period is included: based on the
