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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.

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File URL: http://www.bcentral.cl/eng/studies/economia-chilena/2012/dic/recv15n3dic2012pp4-39.pdf
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Bibliographic Info

Article provided by Central Bank of Chile in its journal Economía Chilena.

Volume (Year): 15 (2012)
Issue (Month): 3 (December)
Pages: 04-39

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Handle: RePEc:chb:bcchec:v:15:y:2012:i:3:p:04-39

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  1. 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.
  2. repec:att:wimass:9417 is not listed on IDEAS
  3. Diebold, Francis X & Mariano, Roberto S, 2002. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-44, January.
  4. West, Kenneth D, 1996. "Asymptotic Inference about Predictive Ability," Econometrica, Econometric Society, vol. 64(5), pages 1067-84, September.
  5. Pablo Pincheira B. & Nicolás Fernández, 2011. "Jaque Mate a las Proyecciones de Consenso," Working Papers Central Bank of Chile 630, Central Bank of Chile.
  6. Andrea Betancor & Pablo Pincheira, 2008. "Forecasting Inflation Forecast Errors," Working Papers Central Bank of Chile 477, Central Bank of Chile.
  7. repec:att:wimass:9220 is not listed on IDEAS
  8. 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.
  9. Giacomini, Raffaella & White, Halbert, 2003. "Tests of Conditional Predictive Ability," University of California at San Diego, Economics Working Paper Series qt5jk0j5jh, Department of Economics, UC San Diego.
  10. Pablo Pincheira & Roberto Álvarez, 2009. "Evaluation of Short Run Inflation Forecasts and Forecasters in Chile," Money Affairs, Centro de Estudios Monetarios Latinoamericanos, vol. 0(2), pages 159-180, July-Dece.
  11. 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.
  12. Pablo Pincheira, 2012. "Are Forecast Combinations Efficient?," Working Papers Central Bank of Chile 661, Central Bank of Chile.
  13. Kenneth D. West & Whitney K. Newey, 1995. "Automatic Lag Selection in Covariance Matrix Estimation," NBER Technical Working Papers 0144, National Bureau of Economic Research, Inc.
  14. Pablo Pincheira & Roberto Álvarez, 2012. "Evaluation of Short Run Inflation Forecasts in Chile," Working Papers Central Bank of Chile 674, Central Bank of Chile.
  15. Pablo Pincheira, 2010. "A Real Time Evaluation of the Central Bank of Chile GDP Growth Forecasts," Working Papers Central Bank of Chile 556, Central Bank of Chile.
  16. Pablo Pincheira, 2006. "Shrinkage Based Tests of the Martingale Difference Hypothesis," Working Papers Central Bank of Chile 376, Central Bank of Chile.
  17. Pablo Matías Pincheira Brown & Nicolás FernándeZ, 2011. "Corrección de algunos errores sistemáticos de predicción de inflación," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(1), pages 37-61, enero-mar.
  18. Halbert White, 2000. "A Reality Check for Data Snooping," Econometrica, Econometric Society, vol. 68(5), pages 1097-1126, September.
  19. Andersson, Michael K. & Karlsson, Gustav & Svensson, Josef, 2007. "The Riksbank’s Forecasting Performance," Working Paper Series 218, Sveriges Riksbank (Central Bank of Sweden).
  20. Michael Pedersen, 2010. "Una nota introductoria a la encuesta de Expectativas Económicas," Economic Statistics Series 82, Central Bank of Chile.
  21. Wolak, Frank A., 1989. "Testing inequality constraints in linear econometric models," Journal of Econometrics, Elsevier, vol. 41(2), pages 205-235, June.
  22. Dean Croushore, 2006. "An evaluation of inflation forecasts from surveys using real-time data," Working Papers 06-19, Federal Reserve Bank of Philadelphia.
  23. 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.
  24. Carlos Bowles & Roberta Friz & Veronique Genre & Geoff Kenny & Aidan Meyler & Tuomas Rautanen, 2007. "The ECB survey of professional forecasters (SPF) – A review after eight years’ experience," Occasional Paper Series 59, European Central Bank.
  25. 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.
  26. Joseph P. Romano & Michael Wolf, 2003. "Stepwise multiple testing as formalized data snooping," Economics Working Papers 712, Department of Economics and Business, Universitat Pompeu Fabra.
  27. 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.
  28. repec:taf:jnlbes:v:30:y:2012:i:1:p:1-17 is not listed on IDEAS
  29. Pablo Matias Pincheira Brown, 2013. "Shrinkage‐Based Tests of Predictability," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(4), pages 307-332, 07.
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Cited by:
  1. Medel, Carlos A. & Salgado, Sergio C., 2012. "Does BIC Estimate and Forecast Better than AIC?," MPRA Paper 42235, University Library of Munich, Germany.

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