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Yet, the finite\u2010sample performance of these asymptotics is often poor. \u201cFixed\u2010\n\u201d asymptotics, used to account for long\u2010run variance estimation, improve finite\u2010sample performance under homoskedasticity, but lose asymptotic pivotality under time\u2010varying volatility. Moreover, loss of pivotality due to time\u2010varying volatility is found in the standard HAC framework in certain cases as well. We prove a wild bootstrap implementation to restore asymptotically pivotal inference for the above and new CUSUM\u2010 and Cram\u00e9r\u2010von Mises\u2010based tests in a fairly general setup, allowing for estimation uncertainty from either a rolling window or a recursive approach when fixed\u2010\n asymptotics are adopted to achieve good finite\u2010sample performance. We then investigate the (time\u2010varying) performance of professional forecasters relative to naive no\u2010change and model\u2010based predictions in real\u2010time. We exploit the Survey of Professional Forecasters (SPF) database and analyze nowcasts and forecasts at different horizons for output and inflation. We find that not accounting for time\u2010varying volatility seriously affects outcomes of tests for equal forecast ability: wild bootstrap inference typically yields convincing evidence for advantages of the SPF, while tests using non\u2010robust critical values provide remarkably less. Moreover, we find significant evidence for time\u2010variation of relative forecast ability, the advantages of the SPF weakening considerably after the \u201cGreat Moderation.\u201d<\/jats:p>","DOI":"10.1002\/jae.2906","type":"journal-article","created":{"date-parts":[[2022,5,11]],"date-time":"2022-05-11T13:39:31Z","timestamp":1652276371000},"page":"1010-1030","update-policy":"http:\/\/dx.doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":3,"title":["Robust inference under time\u2010varying volatility: A real\u2010time evaluation of professional forecasters"],"prefix":"10.1002","volume":"37","author":[{"given":"Matei","family":"Demetrescu","sequence":"first","affiliation":[{"name":"Department of Statistics TU Dortmund, Vogelpothsweg 78  Dortmund Germany"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Christoph","family":"Hanck","sequence":"additional","affiliation":[{"name":"Faculty of Economics and Business Administration University of Duisburg\u2010Essen, Universit\u00e4tsstra\u00dfe 12  Essen Germany"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Robinson","family":"Kruse\u2010Becher","sequence":"additional","affiliation":[{"name":"Faculty of Economics University of Hagen, Universit\u00e4tsstra\u00dfe 41  Hagen Germany"},{"name":"CREATES Aarhus University, School of Economics and Management, Fuglesangs All\u00e9 4  Aarhus V Denmark"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"311","published-online":{"date-parts":[[2022,6,5]]},"reference":[{"key":"e_1_2_7_2_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2013.03.006"},{"key":"e_1_2_7_3_1","doi-asserted-by":"publisher","DOI":"10.2307\/2938229"},{"key":"e_1_2_7_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jmoneco.2006.04.006"},{"key":"e_1_2_7_5_1","first-page":"2","article-title":"Are phillips curves useful for forecasting inflation?","volume":"25","author":"Atkeson A.","year":"2001","journal-title":"Federal Reserve Bank of Minneapolis Quarterly Review"},{"key":"e_1_2_7_6_1","doi-asserted-by":"publisher","DOI":"10.1214\/154957805100000104"},{"key":"e_1_2_7_7_1","doi-asserted-by":"publisher","DOI":"10.1198\/073500106000000558"},{"key":"e_1_2_7_8_1","doi-asserted-by":"publisher","DOI":"10.1081\/ETC-200028215"},{"key":"e_1_2_7_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2010.03.003"},{"key":"e_1_2_7_10_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1368-423X.2010.00313.x"},{"key":"e_1_2_7_11_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.2379"},{"key":"e_1_2_7_12_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.2756"},{"key":"e_1_2_7_13_1","first-page":"3","article-title":"Introducing: the survey of professional forecasters","volume":"6","author":"Croushore D.","year":"1993","journal-title":"Business Review\u2010Federal Reserve Bank of Philadelphia"},{"key":"e_1_2_7_14_1","doi-asserted-by":"publisher","DOI":"10.2202\/1935-1690.1677"},{"key":"e_1_2_7_15_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(01)00072-0"},{"key":"e_1_2_7_16_1","doi-asserted-by":"crossref","unstructured":"D'Agostino A. 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