Performance of Survey Forecasts by Professional Analysts: Did the European Debt Crisis Make it Harder or Perhaps Even Easier?
Abstract
:1. Introduction
2. ECB and the Financial Crisis
3. Literature Review
4. Data and Methodology
Null Hypothesis: Three-Month EURIBOR has a unit root | ||||
Exogenous: Constant | ||||
Bandwidth: 8 (Newey-West automatic) using Bartlett kernel | ||||
Adj. t-Stat | Prob.* | |||
Phillips-Perron test statistic | −1.205573 | 0.6718 | ||
Test critical values: | 1% level | −3.467205 | ||
5% level | −2.877636 | |||
10% level | −2.575430 |
Null Hypothesis: Survey Forecast has a unit root | ||||
Exogenous: Constant | ||||
Bandwidth: 8 (Newey-West automatic) using Bartlett kernel | ||||
Adj. t-Stat | Prob.* | |||
Phillips-Perron test statistic | −1.197263 | 0.6753 | ||
Test critical values: | 1% level | −3.468749 | ||
5% level | −2.878311 | |||
10% level | −2.575791 |
5. Empirical Results
Quandt-Andrews unknown breakpoint test | ||
Null Hypothesis: No breakpoints within 15% trimmed data | ||
Varying regressors: All equation variables | ||
Equation Sample: 1999M02 2013M03 | ||
Test Sample: 2001M04 2011M02 | ||
Number of breaks compared: 119 | ||
Statistic | Value | Prob. |
Maximum LR F-statistic (2008M11) | 9.462575 | 0.0001 |
Maximum Wald F-statistic (2008M11) | 28.38772 | 0.0001 |
Exp LR F-statistic | 1.329651 | 0.0647 |
Exp Wald F-statistic | 9.437692 | 0.0010 |
Ave LR F-statistic | 1.626766 | 0.1190 |
Ave Wald F-statistic | 4.880299 | 0.1190 |
Measure | 1999/04–2013/03 | 1999/04–2008/11 | 2008/12–2013/03 |
---|---|---|---|
Theil’s U | 0.7454545 | 0.8460556 | 0.6893854 |
Theil’s Ur | 0.8711607 | 0.8262579 | 0.8834104 |
6. Conclusions
Author Contributions
Acknowledgements
Conflicts of Interest
References and Notes
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Kunze, F.; Gruppe, M. Performance of Survey Forecasts by Professional Analysts: Did the European Debt Crisis Make it Harder or Perhaps Even Easier? Soc. Sci. 2014, 3, 128-139. https://doi.org/10.3390/socsci3010128
Kunze F, Gruppe M. Performance of Survey Forecasts by Professional Analysts: Did the European Debt Crisis Make it Harder or Perhaps Even Easier? Social Sciences. 2014; 3(1):128-139. https://doi.org/10.3390/socsci3010128
Chicago/Turabian StyleKunze, Frederik, and Mario Gruppe. 2014. "Performance of Survey Forecasts by Professional Analysts: Did the European Debt Crisis Make it Harder or Perhaps Even Easier?" Social Sciences 3, no. 1: 128-139. https://doi.org/10.3390/socsci3010128
APA StyleKunze, F., & Gruppe, M. (2014). Performance of Survey Forecasts by Professional Analysts: Did the European Debt Crisis Make it Harder or Perhaps Even Easier? Social Sciences, 3(1), 128-139. https://doi.org/10.3390/socsci3010128