| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP6992 |
| DP6992 Monetary Policy and Inflation Modeling in a More Open Economy in South Africa | |
| John Muellbauer; Janine Aron | |
| 发表日期 | 2008-10-23 |
| 出版年 | 2008 |
| 语种 | 英语 |
| 摘要 | A path forecast refers to the sequence of forecasts 1 to H periods into the future. A summary of the range of possible paths the predicted variable may follow for a given confidence level requires construction of simultaneous confidence regions that adjust for any covariance between the elements of the path forecast. This paper shows how to construct such regions with the joint predictive density and Scheffé's (1953) S-method. In addition, the joint predictive density can be used to construct simple statistics to evaluate the local internal consistency of a forecasting exercise of a system of variables. Monte Carlo simulations demonstrate that these simultaneous confidence regions provide approximately correct coverage in situations where traditional error bands, based on the collection of marginal predictive densities for each horizon, are vastly off mark. The paper showcases these methods with an application to the most recent monetary episode of interest rate hikes in the U.S. macroeconomy. |
| 主题 | International Macroeconomics |
| 关键词 | Error bands. Path forecast Simultaneous confidence region |
| URL | https://cepr.org/publications/dp6992 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/535847 |
| 推荐引用方式 GB/T 7714 | John Muellbauer,Janine Aron. DP6992 Monetary Policy and Inflation Modeling in a More Open Economy in South Africa. 2008. |
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