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.
- Speaker
- Date
- Thursday 19 Nov 2026, 12:00 - 13:00
- Type
- Seminar
- Room
- ET-14
- Location
- Campus Woudestein
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.
See also
- More information
Do you want to know more about the event? Contact the secretariat Econometrics at eb-secr@ese.eur.nl.
