Table A.2.1: Relative RMSFEs - full sample
hor.: h=0 h=1 h=3 h=6 h=12
comb. av. av. av. av. av. av. av. av. av. av. av. av. av. av. av. av. av. av. av. av.
scheme: 10% mse d-mse all 10% mse d-mse all 10% mse d-mse all 10% mse d-mse all 10% mse d-mse all
Industrial production
AR 0.98 0.96 0.96 0.96 0.97 0.92 0.92 0.92 0.95 0.91 0.91 0.91 0.99 0.99 0.98 0.99 1.00 1.04 1.03 1.04 BVAR 0.90 0.94 0.94 0.94 0.75 0.73 0.73 0.73 0.64 0.64 0.64 0.64 0.73 0.74 0.73 0.74 0.85 0.86 0.84 0.86 DFM 0.84 0.84 0.84 0.84 0.70 0.76 0.74 0.76 0.68 0.77 0.75 0.78 0.81 0.91 0.88 0.92 0.92 1.03 1.00 1.04 MULT 0.89 0.93 0.93 0.86 0.75 0.73 0.73 0.71 0.64 0.64 0.64 0.69 0.73 0.75 0.73 0.81 0.85 0.87 0.85 0.94 BIV 0.90 0.92 0.92 0.93 0.81 0.88 0.87 0.88 0.78 0.86 0.85 0.87 0.88 0.95 0.94 0.95 0.94 1.01 0.99 1.01 ALL 0.90 0.91 0.91 0.87 0.72 0.84 0.83 0.78 0.64 0.81 0.80 0.76 0.75 0.91 0.88 0.87 0.87 0.97 0.95 0.96
Unemployment rate
AR 0.95 0.91 0.91 0.91 0.90 0.86 0.85 0.86 0.86 0.85 0.84 0.85 0.92 0.87 0.87 0.87 0.99 0.96 0.96 0.96 BVAR 0.86 0.87 0.87 0.87 0.75 0.74 0.73 0.74 0.63 0.63 0.62 0.63 0.59 0.61 0.60 0.62 0.71 0.74 0.73 0.75 DFM 0.82 0.83 0.83 0.83 0.69 0.71 0.70 0.71 0.61 0.67 0.66 0.68 0.62 0.71 0.70 0.72 0.77 0.86 0.85 0.87 MULT 0.83 0.86 0.86 0.84 0.73 0.73 0.73 0.72 0.62 0.63 0.62 0.65 0.59 0.62 0.60 0.66 0.71 0.75 0.73 0.80 BIV 0.88 0.88 0.88 0.88 0.76 0.81 0.80 0.82 0.71 0.78 0.77 0.80 0.73 0.81 0.79 0.82 0.83 0.91 0.90 0.92 ALL 0.87 0.88 0.87 0.85 0.74 0.80 0.78 0.76 0.64 0.76 0.74 0.71 0.62 0.78 0.76 0.73 0.75 0.89 0.87 0.85
Consumer price index
AR 0.95 0.95 0.95 0.95 0.98 1.00 1.00 1.00 1.00 1.01 1.01 1.01 0.99 1.01 1.01 1.01 1.00 1.00 1.00 1.01 BVAR 0.72 0.73 0.73 0.73 0.87 0.87 0.87 0.87 0.96 0.99 0.99 1.00 1.00 1.07 1.07 1.07 1.00 1.11 1.11 1.12 DFM 0.96 0.94 0.94 0.94 0.98 0.98 0.98 0.98 0.99 0.99 0.99 0.99 1.01 1.02 1.02 1.02 0.98 0.99 0.99 0.99 MULT 0.72 0.73 0.73 0.80 0.87 0.87 0.87 0.91 0.96 0.99 0.99 0.99 1.00 1.07 1.07 1.04 1.00 1.10 1.10 1.05 BIV 0.86 0.93 0.93 0.93 0.94 0.99 0.98 0.98 0.98 1.01 1.01 1.00 0.99 1.02 1.02 1.01 0.95 1.00 0.99 0.99 ALL 0.73 0.88 0.89 0.85 0.87 0.96 0.96 0.93 0.97 1.01 1.00 0.99 0.99 1.02 1.02 1.02 0.96 1.00 0.99 1.00
Personal consumption expenditures price index
AR 0.99 0.99 0.99 0.99 1.00 1.00 1.00 1.00 1.00 1.02 1.02 1.02 1.01 1.02 1.02 1.02 1.01 1.03 1.03 1.03 BVAR 0.76 0.77 0.77 0.77 0.90 0.88 0.88 0.88 0.95 0.97 0.97 0.97 1.00 1.07 1.07 1.07 1.01 1.16 1.15 1.17 DFM 0.93 0.91 0.91 0.91 0.99 0.97 0.97 0.97 1.00 0.99 0.99 0.99 1.01 1.02 1.01 1.02 1.00 1.00 0.99 1.00 MULT 0.76 0.77 0.77 0.80 0.90 0.88 0.88 0.90 0.95 0.97 0.97 0.97 1.00 1.07 1.06 1.04 1.00 1.15 1.14 1.08 BIV 0.86 0.96 0.96 0.96 0.93 0.99 0.98 0.98 0.97 1.02 1.02 1.01 0.98 1.03 1.02 1.02 0.99 1.05 1.04 1.03 ALL 0.77 0.90 0.90 0.85 0.88 0.96 0.96 0.93 0.96 1.01 1.00 0.98 0.99 1.03 1.02 1.02 0.99 1.05 1.05 1.05 Notes: The table displays the relative RMSFEs for each model and combination scheme over the RW benchmark. The full evaluation sample runs from December 2003 to December 2011. Numbers below one are put in bold and are further shaded if the relative RMSFE is lower than that of the best AR model for the corresponding forecast horizon.
29
Table A.2.2: Relative RMSFEs - sub-samples
hor.: h=0 h=1 h=3 h=6 h=12
comb. av. av. av. av. av. av. av. av. av. av. av. av. av. av. av. av. av. av. av. av.
scheme: 10% mse d-mse all 10% mse d-mse all 10% mse d-mse all 10% mse d-mse all 10% mse d-mse all
Industrial production Precrisis subsample
-AR 1.05 1.06 1.06 1.06 1.08 1.11 1.11 1.11 1.08 1.13 1.13 1.13 1.09 1.25 1.25 1.27 1.22 1.42 1.40 1.45
BVAR 1.02 1.05 1.05 1.05 1.04 1.04 1.04 1.04 1.04 1.08 1.08 1.08 1.16 1.13 1.13 1.14 1.50 1.40 1.33 1.41
DFM 1.02 0.98 0.99 0.98 1.02 1.00 1.00 1.00 1.08 1.06 1.06 1.07 1.16 1.22 1.21 1.23 1.37 1.43 1.39 1.47
MULT 1.02 1.04 1.05 0.99 1.04 1.04 1.04 1.00 1.03 1.08 1.07 1.04 1.16 1.13 1.12 1.14 1.49 1.39 1.33 1.33
BIV 1.02 1.04 1.04 1.05 1.05 1.08 1.08 1.09 1.07 1.10 1.10 1.11 1.13 1.25 1.23 1.24 1.13 1.43 1.38 1.41
ALL 1.03 1.03 1.04 1.01 1.05 1.06 1.06 1.03 1.06 1.08 1.08 1.06 1.09 1.21 1.20 1.17 1.27 1.38 1.35 1.34
Crisis subsample
-AR 0.96 0.92 0.93 0.92 0.96 0.89 0.89 0.89 0.94 0.89 0.89 0.89 0.98 0.97 0.97 0.97 1.00 1.03 1.02 1.03
BVAR 0.86 0.91 0.91 0.91 0.70 0.67 0.67 0.67 0.60 0.60 0.59 0.60 0.70 0.72 0.71 0.72 0.83 0.85 0.83 0.84
DFM 0.79 0.80 0.79 0.80 0.64 0.71 0.70 0.72 0.64 0.75 0.72 0.76 0.79 0.89 0.86 0.90 0.91 1.02 0.99 1.02
MULT 0.84 0.90 0.89 0.82 0.70 0.67 0.67 0.66 0.60 0.60 0.59 0.66 0.70 0.72 0.71 0.79 0.83 0.85 0.83 0.93
BIV 0.85 0.89 0.88 0.89 0.77 0.84 0.84 0.85 0.76 0.84 0.83 0.85 0.87 0.93 0.92 0.93 0.93 0.99 0.98 1.00
ALL 0.86 0.87 0.87 0.83 0.66 0.80 0.79 0.73 0.60 0.79 0.77 0.73 0.73 0.89 0.86 0.85 0.85 0.96 0.93 0.95
Unemployment rate Precrisis subsample
-AR 0.99 1.00 1.01 1.01 1.02 1.05 1.05 1.05 1.06 1.05 1.05 1.05 1.17 1.20 1.19 1.21 1.25 1.28 1.27 1.28
BVAR 1.12 1.17 1.17 1.17 1.06 1.13 1.12 1.14 0.96 1.02 1.02 1.02 0.96 1.02 1.01 1.03 1.01 1.21 1.16 1.23
DFM 0.97 0.95 0.95 0.95 1.00 0.96 0.96 0.95 1.08 0.98 0.98 0.98 1.03 1.09 1.09 1.09 1.11 1.14 1.12 1.15
MULT 1.03 1.15 1.15 1.04 1.05 1.12 1.11 1.03 0.96 1.01 1.01 0.98 0.97 1.02 1.01 1.03 1.02 1.20 1.15 1.13
BIV 0.98 0.99 0.99 1.00 0.96 1.02 1.02 1.02 0.95 1.01 1.01 1.01 0.96 1.14 1.12 1.12 1.07 1.24 1.20 1.18
ALL 0.97 1.00 1.00 1.01 0.98 1.02 1.02 1.01 0.96 1.00 1.00 0.97 0.96 1.11 1.10 1.05 1.05 1.22 1.19 1.12
Crisis subsample
-AR 0.94 0.90 0.89 0.89 0.89 0.84 0.83 0.84 0.85 0.84 0.83 0.83 0.90 0.86 0.85 0.85 0.98 0.95 0.95 0.95
BVAR 0.80 0.81 0.81 0.81 0.71 0.69 0.69 0.69 0.60 0.60 0.60 0.61 0.58 0.59 0.58 0.60 0.70 0.73 0.72 0.73
DFM 0.80 0.81 0.81 0.81 0.65 0.68 0.67 0.69 0.57 0.65 0.63 0.66 0.60 0.69 0.68 0.71 0.76 0.85 0.84 0.86
MULT 0.79 0.81 0.81 0.80 0.70 0.69 0.69 0.68 0.60 0.60 0.60 0.62 0.58 0.59 0.58 0.64 0.70 0.73 0.72 0.79
BIV 0.86 0.86 0.86 0.87 0.74 0.79 0.77 0.80 0.69 0.77 0.75 0.79 0.72 0.79 0.78 0.81 0.82 0.90 0.89 0.92
ALL 0.85 0.86 0.85 0.82 0.71 0.77 0.76 0.73 0.62 0.74 0.72 0.70 0.60 0.76 0.74 0.72 0.74 0.88 0.86 0.84
Consumer price index Precrisis subsample
-AR 0.93 0.94 0.94 0.94 0.98 0.99 0.99 0.99 0.99 1.00 0.99 1.00 0.98 0.98 0.98 0.98 1.00 1.00 1.00 1.00
BVAR 0.73 0.72 0.72 0.72 0.89 0.88 0.88 0.88 1.00 0.99 0.99 0.99 1.00 0.99 0.99 0.99 0.92 0.93 0.93 0.94
DFM 0.95 0.95 0.95 0.95 0.98 0.97 0.97 0.97 0.98 0.97 0.97 0.97 0.97 0.96 0.95 0.96 0.91 0.92 0.90 0.91
MULT 0.73 0.72 0.72 0.79 0.89 0.88 0.88 0.91 1.00 0.99 0.99 0.98 1.00 0.99 0.99 0.97 0.92 0.92 0.92 0.92
BIV 0.88 0.93 0.93 0.93 0.95 0.98 0.98 0.98 0.98 0.99 0.99 0.98 0.95 0.97 0.96 0.96 0.94 0.98 0.97 0.98
ALL 0.72 0.88 0.88 0.85 0.88 0.96 0.96 0.94 0.98 0.99 0.98 0.97 0.95 0.97 0.96 0.96 0.93 0.97 0.96 0.95
Crisis subsample
-AR 0.95 0.95 0.95 0.95 0.99 1.00 1.00 1.00 1.00 1.02 1.02 1.02 1.00 1.02 1.02 1.02 0.99 1.01 1.01 1.01
BVAR 0.72 0.74 0.74 0.74 0.86 0.87 0.87 0.87 0.94 0.99 0.99 1.00 1.00 1.09 1.09 1.09 1.02 1.14 1.14 1.15
DFM 0.96 0.94 0.94 0.94 0.99 0.98 0.98 0.98 1.00 1.00 1.00 1.00 1.01 1.03 1.03 1.03 0.99 1.00 1.00 1.00
MULT 0.72 0.74 0.74 0.80 0.86 0.87 0.87 0.90 0.94 0.99 0.99 0.99 1.00 1.08 1.08 1.05 1.01 1.13 1.13 1.07
BIV 0.86 0.93 0.93 0.93 0.93 0.99 0.99 0.98 0.97 1.02 1.02 1.01 1.00 1.03 1.03 1.02 0.96 1.00 1.00 1.00
ALL 0.73 0.89 0.89 0.85 0.86 0.97 0.97 0.93 0.97 1.01 1.01 0.99 1.00 1.03 1.03 1.03 0.96 1.00 1.00 1.01
Personal consumption expenditures price index Precrisis subsample
-AR 1.00 0.99 0.99 0.99 1.03 1.01 1.01 1.01 1.00 1.02 1.02 1.02 1.01 1.00 1.00 1.00 1.03 1.02 1.02 1.02
BVAR 0.74 0.74 0.74 0.74 0.89 0.87 0.87 0.87 0.95 0.96 0.96 0.97 0.96 0.97 0.97 0.97 0.94 0.97 0.97 0.99
DFM 0.99 0.93 0.93 0.93 0.99 0.95 0.95 0.94 0.99 0.95 0.95 0.95 0.98 0.93 0.92 0.92 1.00 0.93 0.92 0.93
MULT 0.74 0.74 0.74 0.80 0.89 0.87 0.87 0.89 0.96 0.96 0.96 0.95 0.96 0.96 0.96 0.94 0.94 0.97 0.97 0.95
BIV 0.90 0.96 0.96 0.97 0.97 0.99 0.99 0.99 0.98 1.01 1.00 1.00 0.94 0.98 0.97 0.97 0.96 1.01 1.01 1.00
ALL 0.75 0.92 0.92 0.87 0.92 0.97 0.97 0.93 0.98 1.00 1.00 0.97 0.94 0.97 0.97 0.95 0.96 1.00 1.00 0.97
Crisis subsample
-AR 0.99 0.99 0.99 0.99 0.99 1.00 1.00 1.00 1.00 1.02 1.02 1.02 1.00 1.03 1.03 1.03 1.00 1.03 1.03 1.04
BVAR 0.77 0.78 0.78 0.78 0.91 0.89 0.89 0.89 0.95 0.97 0.97 0.97 1.02 1.11 1.11 1.11 1.03 1.21 1.21 1.23
DFM 0.90 0.90 0.90 0.90 0.99 0.98 0.98 0.98 1.01 1.01 1.01 1.01 1.02 1.05 1.04 1.05 1.00 1.02 1.01 1.02
MULT 0.77 0.78 0.78 0.80 0.91 0.89 0.88 0.91 0.95 0.97 0.97 0.98 1.01 1.10 1.10 1.07 1.02 1.20 1.19 1.12
BIV 0.84 0.96 0.95 0.96 0.91 0.98 0.98 0.98 0.96 1.02 1.02 1.02 1.00 1.05 1.04 1.03 1.00 1.06 1.06 1.04
ALL 0.77 0.89 0.88 0.83 0.86 0.95 0.95 0.92 0.96 1.01 1.01 0.98 1.00 1.05 1.04 1.04 1.00 1.07 1.06 1.07
30
Figure A.2.1: Relative RMSFEs of the different panels for industrial production- Pre-crisis sample
Notes: The Figure shows the relative (versus the RW) RMSFEs for each model over the pre-crisis sample (Dec. 2003 - Nov. 2007). For each model, the forecasts are computed using five different data sets as displayed on the x-axis:allis the full data set, whereasSD,S,FandCare the data sets obtained by excluding all the soft data, the surveys, the financials and the commodity prices respectively. In each sub-figure the four consecutive (same coloured) bars for a given model and data set display the results for the forecasts combination schemes used, i.e.
av.10%, av.msfe, av.d-msfe and av.all. The dashed red line is the relative RMSFEs of the best AR model for the corresponding horizon and the black line is drawn at one (relative RMSFEs of RW).
31
Figure A.2.2: Relative RMSFEs of the different panels for industrial production- Crisis sample
Notes: The Figure shows the relative (versus the RW) RMSFEs for each model over the pre-crisis sample (Dec. 2007 - Dec. 2011). For each model, the forecasts are computed using five different data sets as displayed on the x-axis:allis the full data set, whereasSD,S,FandCare the data sets obtained by excluding all the soft data, the surveys, the financials and the commodity prices respectively. In each sub-figure the four consecutive (same coloured) bars for a given model and data set display the results for the forecasts combination schemes used, i.e.
av.10%, av.msfe, av.d-msfe and av.all. The dashed red line is the relative RMSFEs of the best AR model for the corresponding horizon and the black line is drawn at one (relative RMSFEs of RW).
32
Figure A.2.3: Relative RMSFEs of the different panels for the unemployment rate - Pre-crisis sample
Notes: The Figure shows the relative (versus the RW) RMSFEs for each model over the pre-crisis sample (Dec. 2003 - Nov. 2007). For each model, the forecasts are computed using five different data sets as displayed on the x-axis:allis the full data set, whereasSD,S,FandCare the data sets obtained by excluding all the soft data, the surveys, the financials and the commodity prices respectively. In each sub-figure the four consecutive (same coloured) bars for a given model and data set display the results for the forecasts combination schemes used, i.e.
av.10%, av.msfe, av.d-msfe and av.all. The dashed red line is the relative RMSFEs of the best AR model for the corresponding horizon and the black line is drawn at one (relative RMSFEs of RW).
33
Figure A.2.4: Relative RMSFEs of the different panels for the unemployment rate - Crisis sample
Notes: The Figure shows the relative (versus the RW) RMSFEs for each model over the pre-crisis sample (Dec. 2007 - Dec. 2011). For each model, the forecasts are computed using five different data sets as displayed on the x-axis:allis the full data set, whereasSD,S,FandCare the data sets obtained by excluding all the soft data, the surveys, the financials and the commodity prices respectively. In each sub-figure the four consecutive (same coloured) bars for a given model and data set display the results for the forecasts combination schemes used, i.e.
av.10%, av.msfe, av.d-msfe and av.all. The dashed red line is the relative RMSFEs of the best AR model for the corresponding horizon and the black line is drawn at one (relative RMSFEs of RW).
34
Figure A.2.5: Relative RMSFEs of the different panels for theconsumer price index - Pre-crisis sample
Notes: The Figure shows the relative (versus the RW) RMSFEs for each model over the pre-crisis sample (Dec. 2003 - Nov. 2007). For each model, the forecasts are computed using five different data sets as displayed on the x-axis:allis the full data set, whereasSD,S,FandCare the data sets obtained by excluding all the soft data, the surveys, the financials and the commodity prices respectively. In each sub-figure the four consecutive (same coloured) bars for a given model and data set display the results for the forecasts combination schemes used, i.e.
av.10%, av.msfe, av.d-msfe and av.all. The dashed red line is the relative RMSFEs of the best AR model for the corresponding horizon and the black line is drawn at one (relative RMSFEs of RW).
35
Figure A.2.6: Relative RMSFEs of the different panels for theconsumer price index- Crisis sample
Notes: The Figure shows the relative (versus the RW) RMSFEs for each model over the pre-crisis sample (Dec. 2007 - Dec. 2011). For each model, the forecasts are computed using five different data sets as displayed on the x-axis:allis the full data set, whereasSD,S,FandCare the data sets obtained by excluding all the soft data, the surveys, the financials and the commodity prices respectively. In each sub-figure the four consecutive (same coloured) bars for a given model and data set display the results for the forecasts combination schemes used, i.e.
av.10%, av.msfe, av.d-msfe and av.all. The dashed red line is the relative RMSFEs of the best AR model for the corresponding horizon and the black line is drawn at one (relative RMSFEs of RW).
36
Figure A.2.7: Relative RMSFEs of the different panels for thepers. cons. expend. price index- Pre-crisis sample
Notes: The Figure shows the relative (versus the RW) RMSFEs for each model over the pre-crisis sample (Dec. 2003 - Nov. 2007). For each model, the forecasts are computed using five different data sets as displayed on the x-axis:allis the full data set, whereasSD,S,FandCare the data sets obtained by excluding all the soft data, the surveys, the financials and the commodity prices respectively. In each sub-figure the four consecutive (same coloured) bars for a given model and data set display the results for the forecasts combination schemes used, i.e.
av.10%, av.msfe, av.d-msfe and av.all. The dashed red line is the relative RMSFEs of the best AR model for the corresponding horizon and the black line is drawn at one (relative RMSFEs of RW).
37
Figure A.2.8: Relative RMSFEs of the different panels for thepers. cons. expend. price index- Crisis sample
Notes: The Figure shows the relative (versus the RW) RMSFEs for each model over the crisis sample (Dec. 2007 - Dec. 2011). For each model, the forecasts are computed using five different data sets as displayed on the x-axis:allis the full data set, whereasSD,S,FandCare the data sets obtained by excluding all the soft data, the surveys, the financials and the commodity prices respectively. In each sub-figure the four consecutive (same coloured) bars for a given model and data set display the results for the forecasts combination schemes used, i.e. av.10%, av.msfe, av.d-msfe and av.all. The dashed red line is the relative RMSFEs of the best AR model for the corresponding horizon and the black line is drawn at one (relative RMSFEs of RW).
38
Figure A.2.9: Marginal predictive ability of soft data for industrial production (a) Pre-crisis sample
−20%
(b) Crisis sample
−20%
Notes: The figure shows for each model the percentage change in RMSFEs from including the different respective block(s) of soft data. In each sub-figure the four consecutive bars for a given horizon displays the results for the forecasts combination schemes used, i.e. av.10%, av.mse, av.d-mse and av.all. The dashed and dashed dotted lines are drawn at the +/−5% and +/−10% threshold respectively.
Figure A.2.10: Marginal predictive ability of soft data for the unemployment rate (a) Pre-crisis sample
−20%
(b) Crisis sample
−20%
Notes: The figure shows for each model the percentage change in RMSFEs from including the different respective block(s) of soft data. In each sub-figure the four consecutive bars for a given horizon displays the results for the forecasts combination schemes used, i.e. av.10%, av.mse, av.d-mse and av.all. The dashed and dashed dotted lines are drawn at the +/−5% and +/−10% threshold respectively.
Figure A.2.11: Marginal predictive ability of soft data for the consumer price index (a) Pre-crisis sample
−20%
(b) Crisis sample
−20%
Notes: The figure shows for each model the percentage change in RMSFEs from including the different respective block(s) of soft data. In each sub-figure the four consecutive bars for a given horizon displays the results for the forecasts combination schemes used, i.e. av.10%, av.mse, av.d-mse and av.all. The dashed and dashed dotted lines are drawn at the +/−5% and +/−10% threshold respectively.
Figure A.2.12: Marginal predictive ability of soft data for the pers. consumption expenditures price index
(a) Pre-crisis sample
−20%
(b) Crisis sample
−20%
Notes: The figure shows for each model the percentage change in RMSFEs from including the different respective block(s) of soft data. In each sub-figure the four consecutive bars for a given horizon displays the results for the forecasts combination schemes used, i.e. av.10%, av.mse, av.d-mse and av.all. The dashed and dashed dotted lines are drawn at the +/−5% and +/−10% threshold respectively.
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