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利用固定平滑渐近理论比较小样本预测准确性AI 解读

Summary We consider fixed‐smoothing asymptotics for the Diebold and Mariano ( Journal of Business and Economic Statistics , 1995, 13 (3), 253–263) test of predictive accuracy. We show that this approach delivers predictive accuracy tests that are correctly sized even when only a small number of out‐of‐sample observations is available. We apply the fixed‐smoothing asymptotics to the Diebold and Mariano test to evaluate the predictive accuracy of the Survey of Professional…

通过矩不等式检验最优货币政策AI 解读

Summary The specification of an optimizing model of the monetary transmission mechanism requires selecting a policy regime: commonly, commitment or discretion. In this paper we propose a new procedure for testing optimal monetary policy, relying on moment inequalities that nest commitment and discretion as two special cases. The approach is based on the derivation of bounds for inflation that are consistent with optimal policy under either policy regime. We derive testable…