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Alternative Tests for Correct Specification of Conditional Predictive Densities
Rossi, Barbara - 2018
We propose a new framework for evaluating predictive densities in an environment where the estimation error of the parameters used to construct the densities is preserved asymptotically under the null hypothesis. The tests offer a simple way to evaluate the correct specification of predictive...
Persistent link: https://www.econbiz.de/10012938449
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Out-of-Sample Forecast Tests Robust to the Choice of Window Size
Rossi, Barbara - 2011
This paper proposes new methodologies for evaluating out-of-sample forecasting performance that are robust to the choice of the estimation window size. The methodologies involve evaluating the predictive ability of forecasting models over a wide range of window sizes. The authors show that the...
Persistent link: https://www.econbiz.de/10013121687
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Conditional Predictive Density Evaluation in the Presence of Instabilities
Rossi, Barbara - 2013
We propose new methods for evaluating predictive densities. The methods include Kolmogorov-Smirnov and Cramér-von Mises-type tests for the correct specification of predictive densities robust to dynamic mis-specification. The novelty is that the tests can detect mis-specification in the...
Persistent link: https://www.econbiz.de/10013089406
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Evaluating Predictive Densities of U.S. Output Growth and Inflation in a Large Macroeconomic Data Set
Rossi, Barbara - 2013
We evaluate conditional predictive densities for U.S. output growth and inflation using a number of commonly used forecasting models that rely on a large number of macroeconomic predictors. More specifically, we evaluate how well conditional predictive densities based on the commonly used...
Persistent link: https://www.econbiz.de/10013089933
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Detecting and Predicting Forecast Breakdowns
Giacomini, Raffaella; Rossi, Barbara - 2021
We propose a theoretical framework for assessing whether a forecast model estimated over one period can provide good … forecasts over a subsequent period. We formalize this idea by defining a forecast breakdown as a situation in which the out …, which is valid under general conditions, can be used not only to detect past forecast breakdowns but also to predict future …
Persistent link: https://www.econbiz.de/10013317583
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Forecast Rationality Tests in the Presence of Instabilities, with Applications to Federal Reserve and Survey Forecasts
Rossi, Barbara; Sekhposyan, Tatevik - 2014
, including, in particular, forecast unbiasedness and efficiency tests, commonly referred to as tests of forecast rationality. Our … schemes, as well as to forecasts that are model-free. The proposed tests provide more evidence against forecast rationality …
Persistent link: https://www.econbiz.de/10014178323
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Out-of-Sample Forecast Tests Robust to the Window Size Choice
Rossi, Barbara; Inoue, Atsushi - 2011
This paper proposes new methodologies for evaluating out-of-sample forecasting performance that are robust to the choice of the estimation window size. The methodologies involve evaluating the predictive ability of forecasting models over a wide range of window sizes. We show that the tests...
Persistent link: https://www.econbiz.de/10014184201
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Understanding Models’ Forecasting Performance
Rossi, Barbara; Sekhposyan, Tatevik - 2010
We propose a new methodology to identify the sources of models’ forecasting performance. The methodology decomposes the models’ forecasting performance into asymptotically uncorrelated components that measure instabilities in the forecasting performance, predictive content, and over-fitting....
Persistent link: https://www.econbiz.de/10014192175
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Has Models' Forecasting Performance for US Output Growth and Inflation Changed over Time, and When?
Rossi, Barbara; Sekhposyan, Tatevik - 2008
We evaluate various models' relative performance in forecasting future US output growth and inflation on a monthly basis. Our approach takes into account the possibility that the models' relative performance can be varying over time. We show that the models' relative performance has, in fact,...
Persistent link: https://www.econbiz.de/10014214874
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Predicting Agri-Commodity Prices : An Asset Pricing Approach
Chen, Yu-Chin - 2010
currency and equity markets of several major commodity-exporting economies can help forecast world agricultural prices. Our … complement forecast methods based on structural factors such as supply, demand, and storage considerations …
Persistent link: https://www.econbiz.de/10013142959