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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, Centro de Estudios Monetarios Latinoamericanos, vol. 0(1), pages 37-61, enero-mar.
    3. 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.
    4. Raffaella Giacomini & Halbert White, 2006. "Tests of Conditional Predictive Ability," Econometrica, Econometric Society, vol. 74(6), pages 1545-1578, November.
    5. Whitney K. Newey & Kenneth D. West, 1994. "Automatic Lag Selection in Covariance Matrix Estimation," Review of Economic Studies, Oxford University Press, vol. 61(4), pages 631-653.
    6. Pablo Pincheira, 2006. "Shrinkage Based Tests of the Martingale Difference Hypothesis," Working Papers Central Bank of Chile 376, Central Bank of Chile.
    7. West, Kenneth D, 1996. "Asymptotic Inference about Predictive Ability," Econometrica, Econometric Society, vol. 64(5), pages 1067-1084, September.
    8. Pablo Pincheira & Roberto Álvarez, 2012. "Evaluation of Short Run Inflation Forecasts in Chile," Working Papers Central Bank of Chile 674, Central Bank of Chile.
    9. Andrea Betancor & Pablo Pincheira, 2008. "Forecasting Inflation Forecast Errors," Working Papers Central Bank of Chile 477, Central Bank of Chile.
    10. repec:taf:jnlbes:v:30:y:2012:i:1:p:1-17 is not listed on IDEAS
    11. 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.
    12. Pablo Pincheira, 2010. "A Real Time Evaluation of the Central Bank of Chile GDP Growth Forecasts," Money Affairs, Centro de Estudios Monetarios Latinoamericanos, vol. 0(1), pages 37-73, January-J.
    13. Diebold, Francis X & Mariano, Roberto S, 2002. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-144, January.
    14. Croushore Dean, 2010. "An Evaluation of Inflation Forecasts from Surveys Using Real-Time Data," The B.E. Journal of Macroeconomics, De Gruyter, vol. 10(1), pages 1-32, May.
    15. Pablo Pincheira B. & Nicolás Fernández, 2011. "Jaque Mate a las Proyecciones de Consenso," Working Papers Central Bank of Chile 630, Central Bank of Chile.
    16. 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.
    17. 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.
    18. Pablo Pincheira, 2012. "Are Forecast Combinations Efficient?," Working Papers Central Bank of Chile 661, Central Bank of Chile.
    19. 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.
    20. Andersson, Michael K. & Karlsson, Gustav & Svensson, Josef, 2007. "The Riksbank’s Forecasting Performance," Working Paper Series 218, Sveriges Riksbank (Central Bank of Sweden).
    21. 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.
    22. Pablo Matias Pincheira Brown, 2013. "Shrinkage‐Based Tests of Predictability," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(4), pages 307-332, July.
    23. 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.
    24. Halbert White, 2000. "A Reality Check for Data Snooping," Econometrica, Econometric Society, vol. 68(5), pages 1097-1126, September.
    25. Wolak, Frank A., 1989. "Testing inequality constraints in linear econometric models," Journal of Econometrics, Elsevier, vol. 41(2), pages 205-235, June.
    26. 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.
    27. Michael Pedersen, 2010. "Una nota introductoria a la encuesta de Expectativas Económicas," Economic Statistics Series 82, Central Bank of Chile.
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    Cited by:

    1. Carlos A. Medel & Sergio C. Salgado, 2012. "Does BIC Estimate and Forecast Better Than AIC?," Working Papers Central Bank of Chile 679, Central Bank of Chile.

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