Table 5.2: Relative RMSE for Subsets of Financial Indicators (a) = 2 h Subset 1970.I - 1975.I - 1980.I - 1985.I - 1990.I - 1995.I - 2000.I - 2005.I - 1974.IV 1979.IV 1984. IV 1989. IV 1994. IV 1999. IV 2004. IV EOS New FCI 0.87 1.55 0.88 1.60 0.93 0.66 Balanced 0.82 1.35 0.91 2.20 0.88 0.75 Panel Price 2.29 1.13 1.54 0.82 0.80 Quantity . . . . 1.08 Surveys . . . 1.17 0.91 Liquidity 1.43 0.89 1.81 0.84 0.98 Credit . 1.42 1.11 0.96 0.90 Not purged 0.73 1.38 1.08 0.97 1.10 0.86 of either influence or fed funds Purged of 1.01 1.58 0.95 1.30 0.94 0.74 both macro influence and fed funds (b) = 4 h Subset 1970.I - 1975.I - 1980.I - 1985.I - 1990.I - 1995.I - 2000.I - 2005.I - 1974.IV 1979.IV 1984. IV 1989. IV 1994. IV 1999. IV 2004. IV EOS New FCI 1.08 1.40 0.81 1.93 0.77 0.60 Balanced 0.85 1.22 0.90 3.01 0.73 0.68 0.97 1.04 1.61 0.75 0.72 Quantity . . . . 0.80 Surveys . . . 1.62 0.77 0.85 0.72 2.95 0.75 0.87 Liquidity Credit . 1.50 1.19 0.92 0.89 Not purged of 0.89 1.30 1.03 0.84 1.09 0.89 either influence or fed funds Purged of both 1.21 1.29 0.87 1.22 0.86 0.73 macro influence and fed funds
Table 5.2: Relative RMSE for Subsets of Financial Indicators (a) h = 2 Subset 1970.I - 1974.IV 1975.I - 1979.IV 1980.I - 1984. IV 1985.I - 1989. IV 1990.I - 1994. IV 1995.I - 1999. IV 2000.I - 2004. IV 2005.I - EOS New FCI 0.87 1.55 0.88 1.60 0.93 0.66 Balanced Panel 0.82 1.35 0.91 2.20 0.88 0.75 Price 2.29 1.13 1.54 0.82 0.80 Quantity . . . . 1.08 Surveys . . . 1.17 0.91 Liquidity 1.43 0.89 1.81 0.84 0.98 Credit . 1.42 1.11 0.96 0.90 Not purged of either influence or fed funds 0.73 1.38 1.08 0.97 1.10 0.86 Purged of both macro influence and fed funds 1.01 1.58 0.95 1.30 0.94 0.74 (b) h = 4 Subset 1970.I - 1974.IV 1975.I - 1979.IV 1980.I - 1984. IV 1985.I - 1989. IV 1990.I - 1994. IV 1995.I - 1999. IV 2000.I - 2004. IV 2005.I - EOS New FCI 1.08 1.40 0.81 1.93 0.77 0.60 Balanced 0.85 1.22 0.90 3.01 0.73 0.68 0.97 1.04 1.61 0.75 0.72 Quantity . . . . 0.80 Surveys . . . 1.62 0.77 Liquidity 0.85 0.72 2.95 0.75 0.87 Credit . 1.50 1.19 0.92 0.89 Not purged of either influence or fed funds 0.89 1.30 1.03 0.84 1.09 0.89 Purged of both macro influence and fed funds 1.21 1.29 0.87 1.22 0.86 0.73
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