Table 2.
Out-of-sample density forecast model evaluation in terms of pinball loss metrics relative to a random walk model. The evaluation period is from 2011 Q4 to 2019 Q4 (top) and 2011 Q4 to 2021 Q4 (bottom).
| France | Germany | Italy | Spain | |
|---|---|---|---|---|
| Pre-Covid-19 | ||||
| AR(1) | 1.00 | 0.79 | 1.02 | 1.00 |
| BMA - 1st month | 1.00 | 0.79 | 1.07 | 1.88 |
| BMA - 2nd month | 0.85 | 0.70 | 0.98 | 1.72 |
| BMA - 3rd month | 0.85 | 0.67 | 0.93 | 1.68 |
| Covid-19 Included | ||||
| AR(1) | 1.08 | 0.77 | 0.95 | 1.07 |
| BMA - 1st month | 0.63 | 0.65 | 0.52 | 0.57 |
| BMA - 2nd month | 0.35 | 0.52 | 0.51 | 0.48 |
| BMA - 3rd month | 0.30 | 0.50 | 0.53 | 0.48 |