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Forecaster overconfidence and market survey performance. (2015). Schröder, Michael ; Deaves, Richard ; Schroder, Michael ; Lei, Jin.
In: Frankfurt School - Working Paper Series.
RePEc:zbw:fsfmwp:218.

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  21. Panel A: OS-R2s Frankfurt School of Finance & Management Working Paper No. 218 29 Panel B: P-values 30 Frankfurt School of Finance & Management Working Paper No. 218 FIGURE 2: OS-R2s and p-values for one-year to three-year rolling screens This figure investigates whether filtering out weaker forecasters based on prior performance (MSPE) improves forecast combination accuracy. This figure displays both OS-R2s and corresponding p-values for one-, two- and three-year rolling windows. For forecast evaluation, OS-R2 is calculated based on Campbell and Thompson (2008). This statistic gauges the proportional reduction in MSPE for a competing model relative to the historical average benchmark. P-values are computed based on the MSPE-adjusted statistic of Clark and West (2007). We employ the screen that at least 10 forecasts over the rolling window must have been made.
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