Forecast evaluation using CW test (WTI as proxy for oil uncertainty)
| In-sample | Out-of-sample | |||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Average | ||||||||||||||||||||
| Country | N | SN | P | SP | N | SN | P | SP | N | SN | P | SP | N | SN | P | SP | N | SN | P | SP |
| Model-2 versus Model-1 | ||||||||||||||||||||
| Brazil | – | – | 60.0 | 40.0 | – | – | 40.0 | 60.0 | – | – | 60.0 | 40.0 | – | – | 60.0 | 40.0 | – | – | 53.3 | 46.7 |
| China | – | – | 80.0 | 20.0 | 20.0 | – | 60.0 | 20.0 | 20.0 | 0.0 | 60.0 | 20.0 | 20.0 | 0.0 | 60.0 | 20.0 | 20.0 | 0.0 | 60.0 | 20.0 |
| India | – | – | 20.0 | 80.0 | – | – | 20.0 | 80.0 | – | – | 20.0 | 80.0 | – | – | 20.0 | 80.0 | – | – | 20.0 | 80.0 |
| Indonesia | 20.0 | 20.0 | – | 60.0 | 20.0 | 20.0 | 0.0 | 60.0 | 20.0 | 20.0 | 0.0 | 60.0 | 20.0 | 20.0 | – | 60.0 | 20.0 | 20.0 | – | 60.0 |
| Russia | – | – | 80.0 | 20.0 | – | – | 100.0 | – | – | – | 100.0 | 0.0 | – | – | 100.0 | – | – | – | 100.0 | – |
| South Africa | 40.0 | – | 60.0 | – | 40.0 | – | 60.0 | – | 40.0 | 0.0 | 60.0 | 0.0 | 40.0 | – | 60.0 | – | 40.0 | – | 60.0 | – |
| South Korea | – | – | 60.0 | 40.0 | 20.0 | – | 40.0 | 40.0 | 20.0 | 0.0 | 40.0 | 40.0 | – | – | 60.0 | 40.0 | 13.3 | – | 46.7 | 40.0 |
| Turkey | – | – | 20.0 | 80.0 | 0.0 | – | 20.0 | 80.0 | 0.0 | 0.0 | 20.0 | 80.0 | – | – | 20.0 | 80.0 | – | – | 20.0 | 80.0 |
| Vietnam | – | – | 60.0 | 40.0 | 0.0 | – | 80.0 | 20.0 | 0.0 | 0.0 | 60.0 | 40.0 | – | – | 80.0 | 20.0 | – | – | 73.3 | 26.7 |
| Model–3 versus Model–1 | ||||||||||||||||||||
| Brazil | – | – | 40.0 | 60.0 | – | – | 60.0 | 40.0 | – | – | 80.0 | 20.0 | – | – | 80.0 | 20.0 | – | – | 73.3 | 26.7 |
| China | 20.0 | – | 40.0 | 40.0 | 20.0 | – | 40.0 | 40.0 | 20.0 | – | 40.0 | 40.0 | 20.0 | – | 60.0 | 20.0 | 20.0 | 0.0 | 46.7 | 33.3 |
| India | – | – | 40.0 | 60.0 | – | – | 40.0 | 60.0 | – | – | 40.0 | 60.0 | – | – | 40.0 | 60.0 | – | – | 40.0 | 60.0 |
| Indonesia | – | 40.0 | – | 60.0 | – | 40.0 | – | 60.0 | – | 40.0 | – | 60.0 | – | 40.0 | – | 60.0 | 0.0 | 40.0 | – | 60.0 |
| Russia | – | – | 80.0 | 20.0 | – | – | 100.0 | – | – | – | 100.0 | – | – | – | 100.0 | – | – | – | 100.0 | – |
| South Africa | – | – | 100.0 | – | – | – | 100.0 | – | – | – | 100.0 | – | – | – | 100.0 | – | – | – | 100.0 | – |
| South Korea | – | – | 40.0 | 60.0 | – | – | 40.0 | 60.0 | – | – | 40.0 | 60.0 | – | – | 40.0 | 60.0 | – | – | 40.0 | 60.0 |
| Turkey | – | – | – | 100.0 | – | – | 20.0 | 80.0 | – | – | – | 100.0 | – | – | – | 100.0 | – | – | 6.7 | 93.3 |
| Vietnam | – | – | 40.0 | 60.0 | – | – | 40.0 | 60.0 | – | – | 40.0 | 60.0 | – | – | 40.0 | 60.0 | – | – | 40.0 | 60.0 |
| Model–3 versus Model–2 | ||||||||||||||||||||
| Brazil | – | – | 100.0 | – | 40.0 | – | 60.0 | – | 40.0 | – | 60.0 | – | 40.0 | – | 60.0 | – | 40.0 | – | 60.0 | – |
| China | – | – | 80.0 | 20.0 | 20.0 | – | 60.0 | 20.0 | 20.0 | – | 60.0 | 20.0 | 20.0 | – | 40.0 | 40.0 | 20.0 | – | 53.3 | 26.7 |
| India | 20.0 | – | 80.0 | – | 20.0 | – | 80.0 | – | 20.0 | – | 80.0 | – | 20.0 | – | 80.0 | – | 20.0 | – | 80.0 | – |
| Indonesia | – | 20.0 | – | 80.0 | – | 20.0 | – | 80.0 | – | 20.0 | – | 80.0 | – | 20.0 | 0.0 | 80.0 | – | 20.0 | – | 80.0 |
| Russia | – | – | 40.0 | 60.0 | – | – | 80.0 | 20.0 | – | – | 80.0 | 20.0 | 20.0 | 0.0 | 60.0 | 20.0 | 6.7 | – | 73.3 | 20.0 |
| South Africa | – | – | 60.0 | 40.0 | – | – | 60.0 | 40.0 | – | – | 60.0 | 40.0 | – | – | 60.0 | 40.0 | – | – | 60.0 | 40.0 |
| South Korea | – | – | 100.0 | – | – | – | 100.0 | 0.0 | – | – | 100.0 | – | – | – | 80.0 | 20.0 | – | – | 93.3 | 6.7 |
| Turkey | 20.0 | – | 60.0 | 20.0 | 20.0 | – | 60.0 | 20.0 | – | – | 80.0 | 20.0 | – | – | 80.0 | 20.0 | 6.7 | – | 73.3 | 20.0 |
| Vietnam | – | – | 80.0 | 20.0 | – | – | 60.0 | 40.0 | – | – | 60.0 | 40.0 | – | – | 60.0 | 40.0 | – | – | 60.0 | 40.0 |
| In-sample | Out-of-sample | |||||||||||||||||||
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Average | ||||||||||||||||||||
| Country | SN | SP | SN | SP | SN | SP | SN | SP | SN | SP | ||||||||||
| Brazil | – | – | 60.0 | 40.0 | – | – | 40.0 | 60.0 | – | – | 60.0 | 40.0 | – | – | 60.0 | 40.0 | – | – | 53.3 | 46.7 |
| China | – | – | 80.0 | 20.0 | 20.0 | – | 60.0 | 20.0 | 20.0 | 0.0 | 60.0 | 20.0 | 20.0 | 0.0 | 60.0 | 20.0 | 20.0 | 0.0 | 60.0 | 20.0 |
| India | – | – | 20.0 | 80.0 | – | – | 20.0 | 80.0 | – | – | 20.0 | 80.0 | – | – | 20.0 | 80.0 | – | – | 20.0 | 80.0 |
| Indonesia | 20.0 | 20.0 | – | 60.0 | 20.0 | 20.0 | 0.0 | 60.0 | 20.0 | 20.0 | 0.0 | 60.0 | 20.0 | 20.0 | – | 60.0 | 20.0 | 20.0 | – | 60.0 |
| Russia | – | – | 80.0 | 20.0 | – | – | 100.0 | – | – | – | 100.0 | 0.0 | – | – | 100.0 | – | – | – | 100.0 | – |
| South Africa | 40.0 | – | 60.0 | – | 40.0 | – | 60.0 | – | 40.0 | 0.0 | 60.0 | 0.0 | 40.0 | – | 60.0 | – | 40.0 | – | 60.0 | – |
| South Korea | – | – | 60.0 | 40.0 | 20.0 | – | 40.0 | 40.0 | 20.0 | 0.0 | 40.0 | 40.0 | – | – | 60.0 | 40.0 | 13.3 | – | 46.7 | 40.0 |
| Turkey | – | – | 20.0 | 80.0 | 0.0 | – | 20.0 | 80.0 | 0.0 | 0.0 | 20.0 | 80.0 | – | – | 20.0 | 80.0 | – | – | 20.0 | 80.0 |
| Vietnam | – | – | 60.0 | 40.0 | 0.0 | – | 80.0 | 20.0 | 0.0 | 0.0 | 60.0 | 40.0 | – | – | 80.0 | 20.0 | – | – | 73.3 | 26.7 |
| Brazil | – | – | 40.0 | 60.0 | – | – | 60.0 | 40.0 | – | – | 80.0 | 20.0 | – | – | 80.0 | 20.0 | – | – | 73.3 | 26.7 |
| China | 20.0 | – | 40.0 | 40.0 | 20.0 | – | 40.0 | 40.0 | 20.0 | – | 40.0 | 40.0 | 20.0 | – | 60.0 | 20.0 | 20.0 | 0.0 | 46.7 | 33.3 |
| India | – | – | 40.0 | 60.0 | – | – | 40.0 | 60.0 | – | – | 40.0 | 60.0 | – | – | 40.0 | 60.0 | – | – | 40.0 | 60.0 |
| Indonesia | – | 40.0 | – | 60.0 | – | 40.0 | – | 60.0 | – | 40.0 | – | 60.0 | – | 40.0 | – | 60.0 | 0.0 | 40.0 | – | 60.0 |
| Russia | – | – | 80.0 | 20.0 | – | – | 100.0 | – | – | – | 100.0 | – | – | – | 100.0 | – | – | – | 100.0 | – |
| South Africa | – | – | 100.0 | – | – | – | 100.0 | – | – | – | 100.0 | – | – | – | 100.0 | – | – | – | 100.0 | – |
| South Korea | – | – | 40.0 | 60.0 | – | – | 40.0 | 60.0 | – | – | 40.0 | 60.0 | – | – | 40.0 | 60.0 | – | – | 40.0 | 60.0 |
| Turkey | – | – | – | 100.0 | – | – | 20.0 | 80.0 | – | – | – | 100.0 | – | – | – | 100.0 | – | – | 6.7 | 93.3 |
| Vietnam | – | – | 40.0 | 60.0 | – | – | 40.0 | 60.0 | – | – | 40.0 | 60.0 | – | – | 40.0 | 60.0 | – | – | 40.0 | 60.0 |
| Brazil | – | – | 100.0 | – | 40.0 | – | 60.0 | – | 40.0 | – | 60.0 | – | 40.0 | – | 60.0 | – | 40.0 | – | 60.0 | – |
| China | – | – | 80.0 | 20.0 | 20.0 | – | 60.0 | 20.0 | 20.0 | – | 60.0 | 20.0 | 20.0 | – | 40.0 | 40.0 | 20.0 | – | 53.3 | 26.7 |
| India | 20.0 | – | 80.0 | – | 20.0 | – | 80.0 | – | 20.0 | – | 80.0 | – | 20.0 | – | 80.0 | – | 20.0 | – | 80.0 | – |
| Indonesia | – | 20.0 | – | 80.0 | – | 20.0 | – | 80.0 | – | 20.0 | – | 80.0 | – | 20.0 | 0.0 | 80.0 | – | 20.0 | – | 80.0 |
| Russia | – | – | 40.0 | 60.0 | – | – | 80.0 | 20.0 | – | – | 80.0 | 20.0 | 20.0 | 0.0 | 60.0 | 20.0 | 6.7 | – | 73.3 | 20.0 |
| South Africa | – | – | 60.0 | 40.0 | – | – | 60.0 | 40.0 | – | – | 60.0 | 40.0 | – | – | 60.0 | 40.0 | – | – | 60.0 | 40.0 |
| South Korea | – | – | 100.0 | – | – | – | 100.0 | 0.0 | – | – | 100.0 | – | – | – | 80.0 | 20.0 | – | – | 93.3 | 6.7 |
| Turkey | 20.0 | – | 60.0 | 20.0 | 20.0 | – | 60.0 | 20.0 | – | – | 80.0 | 20.0 | – | – | 80.0 | 20.0 | 6.7 | – | 73.3 | 20.0 |
| Vietnam | – | – | 80.0 | 20.0 | – | – | 60.0 | 40.0 | – | – | 60.0 | 40.0 | – | – | 60.0 | 40.0 | – | – | 60.0 | 40.0 |
Note(s): This presents a summary of the CW statistics obtained from the different sample intervals considered. Consequently, the figures in each cell are the proportion (%) of observed feats of N (negative but not significant), SN (negative and significant), P (positive but not significant) and SP (positive and significant) CW statistics. The first model in the pair of contending models is adjudged the most preferred if the proportion of the positives surpasses the proportion of negatives CW statistics
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