Table IV: Ex-post model diagnostics and ex-ante autocorrelation
|
Heteroskedasticity |
LIN |
THM |
SPA |
ZERO | |||||||||||
|
A1 |
H2 |
H3 |
H4 |
ST |
AR1 |
AR12 |
AR1 |
AR12 |
AR1 |
AR12 |
AR1 |
AR12 |
AR1 |
AR12 | |
|
Exports | |||||||||||||||
|
AT |
1 |
2 |
0 |
1 |
3 |
0 |
0 |
1 |
1 |
1 |
2 |
0 |
1 |
1 |
2 |
|
BE |
2 |
2 |
1 |
3 |
3 |
1 |
1 |
1 |
5 |
2 |
5 |
0 |
5 |
1 |
5 |
|
CA |
2 |
5 |
0 |
6 |
1 |
2 |
5 |
2 |
9 |
2 |
10 |
1 |
8 |
2 |
8 |
|
FI |
2 |
5 |
0 |
3 |
2 |
1 |
0 |
2 |
4 |
2 |
4 |
2 |
4 |
2 |
4 |
|
FR |
2 |
2 |
0 |
4 |
2 |
0 |
2 |
1 |
5 |
0 |
4 |
1 |
3 |
1 |
6 |
|
GE |
4 |
3 |
0 |
3 |
0 |
0 |
2 |
3 |
0 |
3 |
0 |
3 |
1 |
3 |
0 |
|
GC |
7 |
5 |
1 |
3 |
0 |
1 |
1 |
2 |
3 |
1 |
3 |
2 |
3 |
1 |
3 |
|
IR |
1 |
3 |
1 |
4 |
2 |
1 |
0 |
3 |
1 |
3 |
1 |
2 |
2 |
3 |
2 |
|
IT |
3 |
10 |
2 |
10 |
6 |
1 |
2 |
2 |
6 |
1 |
6 |
0 |
6 |
2 |
5 |
|
JP |
1 |
2 |
0 |
2 |
7 |
1 |
4 |
2 |
8 |
2 |
7 |
2 |
5 |
2 |
8 |
|
NL |
2 |
3 |
1 |
2 |
1 |
0 |
4 |
1 |
5 |
1 |
4 |
1 |
2 |
1 |
4 |
|
NO |
3 |
2 |
0 |
2 |
2 |
0 |
0 |
0 |
2 |
0 |
1 |
0 |
2 |
1 |
2 |
|
SW |
1 |
2 |
3 |
3 |
4 |
2 |
3 |
3 |
5 |
2 |
4 |
2 |
6 |
2 |
6 |
|
UK |
2 |
4 |
4 |
3 |
1 |
0 |
3 |
2 |
4 |
2 |
5 |
3 |
5 |
2 |
4 |
|
US |
2 |
7 |
1 |
7 |
1 |
0 |
3 |
0 |
3 |
0 |
3 |
0 |
2 |
0 |
3 |
|
agg |
35 |
57 |
14 |
56 |
35 |
10 |
30 |
25 |
61 |
22 |
59 |
__19 |
55 |
24 |
62 |
|
Imports | |||||||||||||||
|
AT- |
1 |
0 |
1 |
1 |
1 |
0 |
3 |
2 |
6 |
2 |
6 |
1 |
6 |
1 |
6 |
|
CA |
1 |
2 |
1 |
2 |
1 |
1 |
5 |
0 |
6 |
0 |
6 |
1 |
5 |
1 |
6 |
|
FI |
1 |
3 |
0 |
1 |
0 |
1 |
0 |
0 |
3 |
0 |
3 |
0 |
2 |
0 |
3 |
|
FR |
0 |
4 |
1 |
3 |
2 |
1 |
0 |
2 |
1 |
2 |
1 |
1 |
2 |
2 |
2 |
|
GE |
1 |
2 |
0 |
0 |
2 |
2 |
5 |
3 |
5 |
3 |
5 |
2 |
3 |
3 |
6 |
|
GC |
2 |
7 |
0 |
7 |
2 |
1 |
2 |
0 |
3 |
1 |
4 |
1 |
4 |
0 |
3 |
|
IR |
1 |
3 |
1 |
5 |
2 |
3 |
3 |
3 |
5 |
3 |
5 |
3 |
5 |
3 |
5 |
|
IT |
4 |
6 |
2 |
8 |
5 |
1 |
3 |
2 |
6 |
2 |
6 |
2 |
5 |
2 |
6 |
|
JP |
2 |
3 |
0 |
3 |
1 |
0 |
0 |
3 |
4 |
2 |
4 |
0 |
1 |
3 |
3 |
|
NL |
2 |
1 |
1 |
1 |
0 |
1 |
4 |
1 |
5 |
1 |
5 |
1 |
2 |
1 |
5 |
|
NO |
0 |
1 |
0 |
1 |
1 |
1 |
0 |
1 |
2 |
0 |
1 |
1 |
1 |
1 |
2 |
|
SW |
4 |
2 |
2 |
3 |
2 |
1 |
4 |
1 |
4 |
2 |
4 |
0 |
1 |
1 |
3 |
|
UK |
0 |
2 |
0 |
3 |
1 |
0 |
3 |
1 |
5 |
1 |
6 |
1 |
5 |
1 |
5 |
|
US |
3 |
8 |
2 |
8 |
3 |
1 |
2 |
4 |
8 |
4 |
9 |
5 |
9 |
5 |
8 |
|
agg |
22 |
44 |
11 |
46 |
23 |
14 |
34 |
23 |
63 |
23 |
65 |
19^ |
51 |
24 |
63 |
Notes: Absolute frequencies of rejecting particular null hypotheses at the 5% significance
level for various in-sample diagnostics (left hand side panels) and serial correlation of one
step ahead forecast errors (right hand side). The homoskedastic model is tested against
ARCH(1), shift in variance, variance governed by volatility, and trend in variance (H1 to
H4). ST is short for an F-test on structural stability. LM1 and LM12 are LM-tests against
first order autocorrelation and autocorrelation up to order 12. LIN, THM, SPA and ZERO
are short for four competing forecasting schemes, the linear regression (11), a threshold
model (16), the semiparametric model (12) and unconditional ”zero” forecasts. Ten sectors
are modelled for each country such that 10 is the maximum entry per cell.
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