Table 4.
Robustness—panel forecast efficiency tests with fixed effects
| (1) | (2) | (3) | (4) | (5) | (6) | |
|---|---|---|---|---|---|---|
|
Credit-to-GDP gap (change from t−3 to t−1) |
0.03*** | 0.03*** | 0.03*** | 0.03*** | 0.03*** | 0.03** |
| (0.01) | (0.01) | (0.01) | (0.01) | (0.01) | (0.01) | |
|
Share of loans denominated in FX (t−1) |
−0.00 | 0.00 | −0.00 | 0.00 | −0.00 | −0.01* |
| (0.00) | (0.01) | (0.00) | (0.01) | (0.01) | (0.01) | |
| Dummy: Civil conflict | −0.14 | 0.29 | −0.11 | 0.28 | 0.25 | 0.49 |
| (0.25) | (0.30) | (0.25) | (0.28) | (0.32) | (0.54) | |
|
Expected fiscal adjustment (t−1 to t+2) |
−0.01 | −0.02 | 0.02 | 0.02 | 0.00 | 0.02 |
| (0.03) | (0.03) | (0.03) | (0.03) | (0.03) | (0.04) | |
|
Forecast error: Trade partners’ growth (t+1) |
0.50*** | 0.54*** | 0.09 | 0.17** | 0.19** | 0.44*** |
| (0.04) | (0.04) | (0.08) | (0.08) | (0.09) | (0.07) | |
|
Ex post revision to real GDP (t−1) |
0.08 | −0.04 | 0.07 | −0.06 | 0.06 | −0.08 |
| (0.07) | (0.07) | (0.07) | (0.07) | (0.09) | (0.08) | |
|
Real GDP growth (t−1) |
0.08** | 0.15*** | 0.05* | 0.16*** | 0.16*** | 0.12*** |
| (0.03) | (0.03) | (0.03) | (0.03) | (0.04) | (0.03) | |
| Constant | −0.05 | −0.09 | −1.68*** | −1.50*** | −0.96** | 0.05 |
| (0.14) | (0.11) | (0.39) | (0.35) | (0.44) | (0.33) | |
| Fixed effects | None | Country | Year | Country and Year | Country and Vintage | Forecaster |
| Observations | 3799 | 3799 | 3799 | 3799 | 3799 | 2717 |
| R-squared | 0.24 | 0.38 | 0.30 | 0.42 | 0.55 | 0.44 |
| Time period | 2003–2019 | 2003–2019 | 2003–2019 | 2003–2019 | 2003–2019 | 2003–2015 |
The dependent variable is , the forecast error for annualized growth of real output from t−1 to t+1. White heteroskedasticity-robust standard errors clustered by country are shown in parentheses. The use of *** denotes a coefficient significantly different from zero at the 0.01 confidence level; **0.05; *0.10. Sample includes all forecast vintages from WEO and MONA databases covering 130 countries