Table 3
Forecast accuracy of alternative Phillips curves, USA, 1978:1 — 2006:4
h________ |
_____________x = GDP_____________ |
x = unemployment rate | ||||||||
sMed |
sDf |
sMom |
sWMed |
s 20 |
sM. |
sDf |
sMom |
sWMed |
s 20 | |
1 RMSFE |
0.91 |
0.92 |
1.08 |
0.93 |
0.94 |
0.92 |
0.93 |
1.11 |
0.94 |
0.96 |
DM |
-1.80** |
-1.53* |
1.17 |
-1.17 |
-1.28 |
-1.55* |
-1.30* |
1.66** |
-0.99 |
-0.88 |
MDM |
-1.79** |
-1.52* |
1.16 |
-1.16 |
-1.27 |
-1.54* |
-1.29 |
1.65* |
-0.98 |
-0.87 |
2 RMSFE |
0.87 |
0.86 |
1.18 |
0.92 |
0.85 |
0.85 |
0.85 |
1.18 |
0.91 |
0.84 |
DM |
-1.47* |
-1.51* |
2.17** |
-1.24 |
-1.51* |
-1.74** |
-1.78** |
2.39*** |
-1.18 |
-1.73** |
MDM |
-1.44* |
-1.48* |
2.13** |
-1.22 |
-1.48* |
-1.71** |
-1.75** |
2.35** |
-1.16 |
-1.70** |
3 RMSFE |
0.85 |
0.85 |
1.16 |
0.93 |
0.84 |
0.83 |
0.83 |
1.15 |
0.91 |
0.85 |
DM |
-1.67** |
-1.69** |
2.56*** |
-1.09 |
-1.82** |
-1.99** |
-1.98** |
2.47*** |
-1.37* |
-2.31** |
MDM |
-1.62* |
-1.64* |
2.49*** |
-1.06 |
-1.77** |
-1.93** |
-1.92** |
2.40*** |
-1.33* |
-2.24** |
4 RMSFE |
0.83 |
0.84 |
1.18 |
0.86 |
0.82 |
0.86 |
0.86 |
1.24 |
0.89 |
0.85 |
DM |
-2.01** |
-2.07** |
3.35*** |
-1.67** |
-2.02** |
-1.61* |
-1.66** |
2.95*** |
-1.35* |
-1.62* |
MDM |
-1.93** |
-1.98** |
3.21*** |
-1.60* |
-1.94** |
-1.54* |
-1.59* |
2.83*** |
-1.29 |
-1.55* |
5 RMSFE |
0.82 |
0.82 |
1.18 |
0.82 |
0.78 |
0.81 |
0.81 |
1.19 |
0.81 |
0.77 |
DM |
-1.99** |
-2.25** |
2.63*** |
-2.02** |
-2.18** |
-2.25** |
-2.53*** |
2.65*** |
-2.36*** |
-2.41*** |
MDM |
-1.88** |
-2.13** |
2.49*** |
-1.91** |
-2.06** |
-2.13** |
-2.39*** |
2.51*** |
-2.23** |
-2.28** |
6 RMSFE |
0.84 |
0.83 |
1.18 |
0.83 |
0.79 |
0.81 |
0.80 |
1.18 |
0.79 |
0.74 |
DM |
-2.37*** |
-2.85*** |
3.11*** |
-1.89** |
-2.32** |
-2.20** |
-2.46*** |
2.33*** |
-2.16** |
-2.40*** |
MDM |
-2.21** |
-2.66*** |
2.90*** |
-1.76** |
-2.17** |
-2.05** |
-2.30** |
2.18** |
-2.02** |
-2.24** |
7 RMSFE |
0.83 |
0.81 |
1.17 |
0.81 |
0.77 |
0.76 |
0.75 |
1.12 |
0.73 |
0.69 |
DM |
-2.66*** |
-3.83*** |
3.46*** |
-1.92** |
-2.21** |
-2.49*** |
-2.73*** |
1.97** |
-2.42*** |
-2.61*** |
MDM |
-2.45*** |
-3.53*** |
3.19*** |
-1.77** |
-2.03** |
-2.29** |
-2.51*** |
1.81** |
-2.23** |
-2.40*** |
8 RMSFE |
0.80 |
0.79 |
1.13 |
0.76 |
0.75 |
0.74 |
0.72 |
1.09 |
0.68 |
0.65 |
DM |
-2.56*** |
-2.95*** |
2.10** |
-2.18** |
-1.95** |
-2.61*** |
-2.75*** |
1.24 |
-2.92*** |
-2.76*** |
MDM |
-2.32** |
-2.68*** |
1.91** |
-1.98** |
-1.77** |
-2.37** |
-2.50*** |
1.13 |
-2.65*** |
-2.50*** |
Notes: The Table reports the RMSFE relative to the Phillips curve benchmark model. Relative RMFSEs
smaller than 1 are documented in bold print. The lag length is set to minimize the Schwarz-information
criteria. (M)DM indicates the (modified) Diebold-Mariano test statistic. *** (**) (*) denotes significance at
the 0.99 (0.95) (0.90) level.