A bootstrap-based efficiency test of growth and inflation forecasts for Germany

C-Tier
Journal: Economics Letters
Year: 2023
Volume: 224
Issue: C

Score contribution per author:

1.005 = (α=2.01 / 1 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

I propose a simple to implement bootstrap-based efficiency (BBE) test to reexamine the efficiency of growth and inflation forecasts for Germany. The BBE test is useful as a test of forecast efficiency when a researcher, as is usually the case, can use a large number of macroeconomic and financial variables to proxy the information set of a forecast producer at the time when a forecast was published. A large number of proxy variables translates into a large number of candidate efficiency-regression models and the decision problem is that it is a priori unclear which model a researcher should choose to test for forecast efficiency. The BBE test solves this decision problem in that it requires a researcher to sample from the set of candidate models and, thereby, makes the decision problem tractable.

Technical Details

RePEc Handle
repec:eee:ecolet:v:224:y:2023:i:c:s016517652300054x
Journal Field
General
Author Count
1
Added to Database
2026-01-29