Semiparametric Forecast Comparison in Unstable Environments
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Series
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Speaker(s)Laura Coroneo (University of York, United Kingdom)
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FieldEconometrics, Data Science and Econometrics
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LocationErasmus University Rotterdam, Campus Woudestein, ET-14
Rotterdam -
Date and time
November 19, 2026
12:00 - 13:00
Abstract
We propose a new diagnostic for comparing the performance of two competing forecasts in the presence of possible instabilities. We exploit the property that the periodogram of a time varying mean often concentrates all the power on the lowest frequencies. Our statistic is easy to compute and has standard limit distributions under the null. We apply our test to revisit the predictive ability of the Bank of England forecasts for quarterly UK CPI inflation against a random walk benchmark.