The D-model for GDP nowcasting

Swiss Journal of Economics and Statistics

Table 17 p values from model the confidence test

Q	M	Disaggregated midas	Disaggregated regression	Disaggregated midas with error correction forecast	Disaggregated midas with error correction forecast	AR(1)	RW	Regression model
RMSE loss function
Current quarter	M1	0.0004	0.0000	1.00	0.0256
	M2	0.0418	0.0000	1.00	0.0592
	M3	0.0105	0.0000	1.00	0.0450	0.0105	0.0076
Next quarter	M1	0.0732	0.0001	1.00	0.0732
Next quarter	M2	0.0029	0.0001	1.00	0.0988	0.2905	0.3725	0.000
MAPE loss function
Current quarter	M1	0.0000	0.0000	1.00	0.2246
	M2	0.0060	0.0000	1.00	0.1825
	M3	0.0001	0.0000	1.00	0.4604	0.0001	0.0001
Next quarter	M1	0.0013	0.0000	1.00	0.0107
Next quarter	M2	0.0001	0.0000	0.9860	0.4819	1.00	0.8415	0000

A high p value denotes that the model is included in the confidence set of the models with the lowest value in loss function, according to the MCS test. For example, if we define a 0.7 significance level, the bold-faced models are included in the confidence set