Tests for Forecast Encompassing

Harvey, David I.; Leybourne, Stephen J.; Newbold, Paul

doi:10.1080/07350015.1998.10524759

Cited by 483 publications

(367 citation statements)

References 15 publications

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“…The Diebold-Mariano test is employed using the smallsample correction, as suggested by Harvey, Leybourne, and Newbold (1997). Furthermore, encompassing tests proposed by Harvey, Leybourne, and Newbold (1998) are carried out (Table 5). Eventually, the predictive accuracy can be improved by combining individual forecasting methods.…”

Section: Inflation Forecastsmentioning

confidence: 99%

Money Demand and the Role of Monetary Indicators in Forecasting Euro Area Inflation

Dreger

Wolters

2010

SSRN Journal

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. This paper examines the stability of money demand and the forecasting performance of a broad monetary aggregate (M3) in predicting euro area inflation. Excess liquidity is measured as the difference between the actual money stock and its fundamental value, the latter determined by a money demand function. The out-of sample forecasting performance is compared to widely used alternatives, such as the term structure of interest rates. The results indicate that the evolution of M3 is still in line with money demand even in the period of the financial and economic crisis. Monetary indi-cators are useful to predict inflation, if the forecasting equations are based on measures of excess liquidity. Terms of use: Documents in JEL:C22

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Section: Inflation Forecastsmentioning

confidence: 99%

Money Demand and the Role of Monetary Indicators in Forecasting Euro Area Inflation

Dreger

Wolters

2010

SSRN Journal

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“…It shows that the two latter are necessary for 'good' forecast performance, but neither (nor both) is sufficient. See also Harvey et al (1998). 19 Note also that the fits of the two models -as measured by their respective residual standard errors -are close.…”

Section: Encompassing Rival Modelsmentioning

confidence: 99%

The information content of M3 for future inflation in the Euro area

Trecroci¹,

Vega²

2002

Weltwirtschaftliches Archiv

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“…The critical values are obtained using the Student's t distribution with P -1 degrees of freedom, where P is the length of the forecast evaluation period. e In columns (8) and (9), the outcome of the forecast encompassing test of Harvey, Leybourne and Newbold (1998) is reported. In column (8), we report the marginal significance levels (p-values) for the null hypotheses that the consensus forecasts encompass those of the ARDL model.…”

Section: Resultsmentioning

confidence: 99%

The real-time predictive content of the KOF Economic Barometer

Siliverstovs

2011

Swiss J Economics Statistics

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Summary We investigate whether the KOF Economic Barometer – a leading indicator released by the KOF Swiss Economic Institute – is useful for short-term prediction of quarterly year-on-year real GDP growth in Switzerland. Using a real-time data set consisting of historical vintages of GDP data and the leading indicator we find that the model augemented with the KOF Barometer produces more accurate forecasts of the Swiss GDP than purely autoregressive models and consensus forecasts.

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Tests for Forecast Encompassing

Cited by 483 publications

References 15 publications

Money Demand and the Role of Monetary Indicators in Forecasting Euro Area Inflation

Money Demand and the Role of Monetary Indicators in Forecasting Euro Area Inflation

The information content of M3 for future inflation in the Euro area

The real-time predictive content of the KOF Economic Barometer

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