Page 154 - Contributed Paper Session (CPS) - Volume 5
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CPS1159 Philip Hans Franses et al.
Table 8: MZ results, based on the consensus forecasts, first release data.
Standard errors are in parentheses.
Forecast origin ß0 ß1 p value Wald test
January, year t-1 2.969 (0.258) -0.028 (0.085) 0.000
February, year t-1 2.898 (0.276) -0.024 (0.092) 0.000
March, year t-1 2.809 (0.293) 0.002 (0.097) 0.000
April, year t-1 2.708 (0.288) 0.028 (0.096) 0.000
May, year t-1 2.625 (0.283) 0.058 (0.094) 0.000
June, year t-1 2.533 (0.276) 0.090 (0.092) 0.000
July, year t-1 2.389 (0.266) 0.141 (0.088) 0.000
August, year t-1 2.271 (0.244) 0.163 (0.081) 0.000
September, year t-1 2.178 (0.258) 0.187 (0.086) 0.000
October, year t-1 1.558 (0.331) 0.363 (0.110) 0.000
November, year t-1 1.229 (0.361) 0.466 (0.120) 0.000
December, year t-1 0.900 (0.350) 0.592 (0.116) 0.014
January, year t 0.729 (0.361) 0.675 (0.120) 0.021
February, year t 0.441 (0.295) 0.787 (0.098) 0.071
March, year t 0.101 (0.284) 0.916 (0.094) 0.485
April, year t 0.101 (0.247) 0.937 (0.082) 0.661
May, year t 0.009 (0.212) 0.997 (0.070) 0.999
June, year t 0.009 (0.182) 1.002 (0.061) 0.986
July, year t 0.034 (0.162) 0.988 (0.054) 0.974
August, year t -0.114 (0.141) 1.013 (0.047) 0.519
September, year t -0.082 (0.124) 1.008 (0.041) 0.621
October, year t -0.175 (0.085) 1.035 (0.028) 0.073
November, year t -0.141 (0.067) 1.033 (0.022) 0.089
December, year t -0.160 (0.055) 1.051 (0.018) 0.012
Table 9: MZ results, based on the consensus forecasts, most recent released
data (computed: September 2018). Standard errors are in parentheses.
Forecast origin ß0 ß1 p value Wald test
January, year t-1 3.046 (0.219) -0.059 (0.071) 0.000
February, year t-1 2.983 (0.236) -0.060 (0.076) 0.000
March, year t-1 2.910 (0.253) -0.039 (0.082) 0.000
April, year t-1 2.811 (0.251) -0.012 (0.081) 0.000
May, year t-1 2.737 (0.248) 0.015 (0.080) 0.000
June, year t-1 2.674 (0.245) 0.036 (0.079) 0.000
July, year t-1 2.566 (0.241) 0.075 (0.078) 0.000
August, year t-1 2.470 (0.227) 0.089 (0.074) 0.000
September, year t-1 2.390 (0.241) 0.109 (0.078) 0.000
October, year t-1 1.858 (0.316) 0.256 (0.102) 0.000
November, year t-1 1.587 (0.349) 0.341 (0.113) 0.000
December, year t-1 1.331 (0.355) 0.442 (0.115) 0.000
January, year t 1.208 (0.373) 0.509 (0.121) 0.000
February, year t 1.007 (0.351) 0.590 (0.114) 0.002
March, year t 0.760 (0.372) 0.687 (0.121) 0.035
April, year t 0.766 (0.353) 0.707 (0.114) 0.037
May, year t 0.684 (0.333) 0.765 (0.108) 0.083
June, year t 0.691 (0.323) 0.768 (0.105) 0.072
July, year t 0.700 (0.307) 0.759 (0.098) 0.046
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