21
Table 4
Encompassing test, USA, 1978:1-2006:4
|
h____ |
_____________x = GDP_____________ |
x = unemployment rate | |||||||||
|
sMed |
s |
sMom |
sWMed |
s' 20 |
sM |
s |
sMom |
sWMed |
St 20 | ||
|
1 |
DM |
2.38*** |
2.24** |
0.61 |
2.27** |
2.01** |
2.36*** |
2.21** |
0.29 |
2.28** |
1.87** |
|
MDM |
2.37** |
2.23** |
0.61 |
2.26** |
2.00** |
2.35** |
2.20** |
0.29 |
2.27** |
1.86** | |
|
2 |
DM |
1.91** |
1.95** |
0.13 |
2.43*** |
1.95** |
2.16** |
2.18** |
-0.01 |
2.33*** |
2.15** |
|
MDM |
1.88** |
1.92** |
0.13 |
2.39*** |
1.92** |
2.12** |
2.14** |
-0.01 |
2.29** |
2.11** | |
|
3 |
DM |
2.11** |
2.25** |
0.09 |
2.66*** |
2.44*** |
2.42*** |
2.46*** |
0.22 |
2.37*** |
3.15*** |
|
MDM |
2.05** |
2.18** |
0.09 |
2.58*** |
2.37** |
2.35** |
2.39*** |
0.21 |
2.30** |
3.06*** | |
|
4 |
DM |
2.45*** |
2.66*** |
-0.07 |
2.87*** |
2.71*** |
2.17** |
2.31** |
-0.86 |
2.29** |
2.31** |
|
MDM |
2.35** |
2.55*** |
-0.07 |
2.75*** |
2.60*** |
2.08** |
2.21** |
-0.82 |
2.20** |
2.21** | |
|
5 |
DM |
2.39*** |
2.75*** |
0.16 |
3.09*** |
2.68*** |
2.63*** |
2.94*** |
0.18 |
3.00*** |
2.92*** |
|
MDM |
2.26** |
2.60*** |
0.15 |
2.92*** |
2.54*** |
2.49*** |
2.78*** |
0.17 |
2.84*** |
2.76*** | |
|
6 |
DM |
2.81*** |
3.39*** |
0.22 |
3.71*** |
3.21*** |
2.51*** |
2.78*** |
0.39 |
2.80*** |
2.67*** |
|
MDM |
2.62*** |
3.17*** |
0.21 |
3.46*** |
3.00*** |
2.34** |
2.60*** |
0.36 |
2.61*** |
2.49*** | |
|
7 |
DM |
3.12*** |
4.09*** |
0.08 |
3.72*** |
3.24*** |
2.64*** |
2.85*** |
1.02 |
3.02*** |
2.73*** |
|
MDM |
2.87*** |
3.77*** |
0.07 |
3.43*** |
2.98*** |
2.43*** |
2.62*** |
0.94 |
2.78*** |
2.51*** | |
|
8 |
DM |
2.75*** |
3.21*** |
0.52 |
4.05*** |
2.96*** |
2.78*** |
2.92*** |
1.05 |
3.67*** |
2.94*** |
|
MDM |
2.50*** |
2.91*** |
0.47 |
3.67*** |
2.69*** |
2.52*** |
2.65*** |
0.95 |
3.33*** |
2.67*** | |
Notes: 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.
Table 5
Results of forecast breakdown tests, USA, 1978:1-2006:4
|
h |
x = GDP |
x = unemployment rate | ||||||||
|
sMed |
s |
sMom |
sWMed |
Sr 20 |
s.'-e- |
sof |
sMom |
sWMed |
Sr 20 | |
|
1 |
1.00 |
1.50* |
1.20* |
1.40* |
1.50* |
1.20 |
1.40* |
1.20 |
1.50* |
1.70** |
|
2 |
0.48 |
0.99 |
1.20* |
1.00 |
1.10 |
0.77 |
0.95 |
1.30* |
1.10 |
1.10 |
|
3 |
0.13 |
0.40 |
0.74 |
0.64 |
0.65 |
0.58 |
0.54 |
0.83 |
1.00 |
1.00 |
|
4 |
0.59 |
0.69 |
1.10 |
0.76 |
0.95 |
1.10 |
0.84 |
0.91 |
1.10 |
1.10 |
|
5 |
0.39 |
0.33 |
0.84 |
0.59 |
0.66 |
1.30 |
0.99 |
0.97 |
1.20 |
1.20 |
|
6 |
0.56 |
0.60 |
0.82 |
0.48 |
0.93 |
1.20 |
1.10 |
0.97 |
0.98 |
1.20 |
|
7 |
0.44 |
0.71 |
0.93 |
0.24 |
0.88 |
1.20 |
0.83 |
0.85 |
0.85 |
1.30 |
|
8 |
0.63 |
0.81 |
0.81 |
0.36 |
0.95 |
0.98 |
0.33 |
0.89 |
0.57 |
1.20 |
Notes: The Table reports the FB-test statistics. *** (**) (*) denotes significance at the 0.99 (0.95) (0.90)
level. Throughout the estimation the lag length is fixed to 4.