The name is absent



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.



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