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A Joint Test of Superior Predictive Ability for Chilean Inflation Forecasts

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  • Pablo Pincheira

Abstract

Normally inflation forecasts are made at different moments and based on varied data sets. One would expect a projection based on a larger data set to be more accurate than one based on a data set nested in the former. To test this hypothesis, this paper runs a joint test of superior predictive ability on available forecasts for Chilean inflation.

Suggested Citation

  • Pablo Pincheira, 2012. "A Joint Test of Superior Predictive Ability for Chilean Inflation Forecasts," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 15(3), pages 04-39, December.
    • Handle: RePEc:chb:bcchec:v:15:y:2012:i:3:p:04-39
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    References listed on IDEAS

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    1. Joseph P. Romano & Michael Wolf, 2005. "Stepwise Multiple Testing as Formalized Data Snooping," Econometrica, Econometric Society, vol. 73(4), pages 1237-1282, July.
    2. Pablo Matías Pincheira Brown & Nicolás FernándeZ, 2011. "Corrección de algunos errores sistemáticos de predicción de inflación," Monetaria, CEMLA, vol. 0(1), pages 37-61, enero-mar.
    3. Raffaella Giacomini & Halbert White, 2006. "Tests of Conditional Predictive Ability," Econometrica, Econometric Society, vol. 74(6), pages 1545-1578, November.
    4. Pablo Pincheira, 2006. "Shrinkage Based Tests of the Martingale Difference Hypothesis," Working Papers Central Bank of Chile 376, Central Bank of Chile.
    5. West, Kenneth D, 1996. "Asymptotic Inference about Predictive Ability," Econometrica, Econometric Society, vol. 64(5), pages 1067-1084, September.
    6. Pablo Pincheira & Roberto Álvarez, 2012. "Evaluation of Short Run Inflation Forecasts in Chile," Working Papers Central Bank of Chile 674, Central Bank of Chile.
    7. Whitney K. Newey & Kenneth D. West, 1994. "Automatic Lag Selection in Covariance Matrix Estimation," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 61(4), pages 631-653.
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    11. Pablo Pincheira B. & Nicolás Fernández, 2011. "Jaque Mate a las Proyecciones de Consenso," Working Papers Central Bank of Chile 630, Central Bank of Chile.
    12. Pablo Pincheira & Roberto Álvarez, 2009. "Evaluation of Short Run Inflation Forecasts and Forecasters in Chile," Money Affairs, CEMLA, vol. 0(2), pages 159-180, July-Dece.
    13. Groen, Jan J.J. & Kapetanios, George & Price, Simon, 2009. "A real time evaluation of Bank of England forecasts of inflation and growth," International Journal of Forecasting, Elsevier, vol. 25(1), pages 74-80.
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    15. Bentancor, Andrea & Pincheira, Pablo, 2010. "Predicción de errores de proyección de inflación en Chile," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(305), pages 129-154, enero-mar.
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    18. Pablo Pincheira Brown & Álvaro García Marín, 2009. "Forecasting Inflation in Chile With an Accurate Benchmark," Working Papers Central Bank of Chile 514, Central Bank of Chile.
    19. Michael Pedersen, 2010. "Una nota introductoria a la encuesta de Expectativas Económicas," Economic Statistics Series 82, Central Bank of Chile.
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    21. Andrea Betancor & Pablo Pincheira, 2008. "Forecasting Inflation Forecast Errors," Working Papers Central Bank of Chile 477, Central Bank of Chile.
    22. Chumacero, Romulo A, 2001. "Empirical Analysis of Systematic Errors in Chilean GDP Forecasts," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(1), pages 37-45, January.
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    24. Joutz, Fred & Stekler, H. O., 2000. "An evaluation of the predictions of the Federal Reserve," International Journal of Forecasting, Elsevier, vol. 16(1), pages 17-38.
    25. Pablo Pincheira, 2012. "Are Forecast Combinations Efficient?," Working Papers Central Bank of Chile 661, Central Bank of Chile.
    26. Pincheira, Pablo & García, Álvaro, 2012. "En busca de un buen marco de referencia predictivo para la inflación en Chile," El Trimestre Económico, Fondo de Cultura Económica, vol. 0(313), pages 85-123, enero-mar.
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    Cited by:

    1. Carlos A. Medel & Sergio C. Salgado, 2013. "Does the Bic Estimate and Forecast Better than the Aic?," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, vol. 28(1), pages 47-64, April.
    2. Pincheira, Pablo & Hardy, Nicolas, 2021. "The Mean Squared Prediction Error Paradox," MPRA Paper 107403, University Library of Munich, Germany.
    3. Pincheira, Pablo & Hardy, Nicolas, 2022. "Correlation Based Tests of Predictability," MPRA Paper 112014, University Library of Munich, Germany.

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