Forecast Bias and MSFE Encompassing

• Autores: Massimiliano Marcellino
• Localización: Oxford bulletin of economics and statistics, ISSN 0305-9049, Vol. 62, Nº. 4, 2000, págs. 533-542
• Idioma: inglés
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• Resumen

  • We show that the standard condition for MSFE encompassing is no longer valid when the forecasts to be compared are biased. We propose a simple modification of such a condition and of tests for its validity. The theoretical results are illustrated by an empirical example on inflation and deficit forecasts, key variables for the formulation of monetary and fiscal policy.