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Table 12 Out-of-sample forecasts: competing models vs. random walk

From: Great expectations? evidence from Colombia’s exchange rate survey

Model 1-Month \(\left( \mathrm{MSPE}_{r}-\mathrm{MSPE}_{u}\right)\) 1-Year \(\left( \mathrm{MSPE}_{r}-\mathrm{MSPE}_{u}\right)\)
Extrapolative −0.0006 (0.001) 0.18*** (0.042)
Adaptive −0.0004 (0.001) 0.20*** (0.045)
Regressive 0.003*** (0.001) 0.09*** (0.030)
Forward discount 0.003** (0.002) 0.03** (0.016)
Surveyed expectations   
All participants 0.009*** (0.002) 0.01 (0.013)
Commercial banks 0.009*** (0.002) 0.01 (0.015)
Stockbrokers 0.009*** (0.002) 0.01 (0.012)
Pension funds 0.009*** (0.003) 0.00 (0.018)
  1. Source: Authors’ calculations. All estimations correspond to rolling regressions. \(MSPE_{r}\) and \(MESPE_{u}\) correspond to “restricted” (Random walk) and “unrestricted” (competing strategies) models. Methodology follows that of Clark and West (2006). Standard errors are in parenthesis
  2. ***, **, * correspond to significance levels of 1, 5 and 10 %, respectively