Universität zu Köln

Breitung, Jörg ORCID: 0000-0001-7367-0863 and Knueppel, Malte (2021). How far can we forecast? Statistical tests of the predictive content. Journal of Applied Econometrics, 36 (4). 369 - 393. HOBOKEN: Wiley. ISSN 0883-7252

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Abstract

We develop tests for the null hypothesis that forecasts become uninformative beyond some maximum forecast horizon h*. The forecast may result from a survey of forecasters or from an estimated parametric model. The first class of tests compares the mean-squared prediction error of the forecast to the variance of the evaluation sample, whereas the second class of tests compares it with the mean-squared prediction error of the recursive mean. We show that the forecast comparison may easily be performed by adopting the encompassing principle, which results in simple regression tests with standard asymptotic inference. Our tests are applied to forecasts of macroeconomic key variables from the survey of Consensus Economics. The results suggest that these forecasts are barely informative beyond two to four quarters ahead.

Item Type:	Journal Article
Creators:	Creators Email ORCID ORCID Put Code Breitung, Jörg UNSPECIFIED orcid.org/0000-0001-7367-0863 UNSPECIFIED Knueppel, Malte UNSPECIFIED UNSPECIFIED UNSPECIFIED
URN:	urn:nbn:de:hbz:38-568139
DOI:	10.1002/jae.2817
Journal or Publication Title:	Journal of Applied Econometrics
Volume:	36
Number:	4
Page Range:	369 - 393
Date:	2021
Publisher:	Wiley
Place of Publication:	HOBOKEN
ISSN:	0883-7252
Language:	English
Faculty:	Faculty of Management, Economy and Social Sciences
Divisions:	Unspecified
Subjects:	no entry
Uncontrolled Keywords:	Keywords Language HETEROSKEDASTICITY; ACCURACY Multiple languages Economics; Social Sciences, Mathematical Methods Multiple languages
Refereed:	Yes
URI:	http://kups.ub.uni-koeln.de/id/eprint/56813