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Autoren: 
Breitung, Jörg
Knüppel, Malte
Datum: 
2018
Reihe/Nr.: 
Bundesbank Discussion Paper 07/2018
Zusammenfassung: 
Forecasts are useless whenever the forecast error variance fails to be smaller than the unconditional variance of the target variable. This paper develops tests for the null hypothesis that forecasts become uninformative beyond some limiting forecast horizon h. Following Diebold and Mariano (DM, 1995) we propose a test based on the comparison of the mean-squared error of the forecast and the sample variance. We show that the resulting test does not possess a limiting normal distribution and suggest two simple modifications of the DM-type test with different limiting null distributions. Furthermore, a forecast encompassing test is developed that tends to better control the size of the test. In our empirical analysis, we apply our tests to macroeconomic forecasts from the survey of Consensus Economics. Our results suggest that forecasts of macroeconomic key variables are barely informative beyond 2-4 quarters ahead.
Schlagwörter: 
Hypothesis Testing
Predictive Accuracy
Informativeness
JEL: 
C12
C32
C53
ISBN: 
978-3-95729-437-1
Dokumentart: 
Working Paper
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