| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP7797 |
| DP7797 Empirical Simultaneous Confidence Regions for Path-Forecasts | |
| Massimiliano Marcellino; Malte Knüppel; Oscar Jorda | |
| 发表日期 | 2010-04-23 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | Measuring and displaying uncertainty around path-forecasts, i.e. forecasts made in period T about the expected trajectory of a random variable in periods T+1 to T+H is a key ingredient for decision making under uncertainty. The probabilistic assessment about the set of possible trajectories that the variable may follow over time is summarized by the simultaneous confidence region generated from its forecast generating distribution. However, if the null model is only approximative or altogether unavailable, one cannot derive analytic expressions for this confidence region, and its non-parametric estimation is impractical given commonly available predictive sample sizes. Instead, this paper derives the approximate rectangular confidence regions that control false discovery rate error, which are a function of the predictive sample covariance matrix and the empirical distribution of the Mahalanobis distance of the path-forecast errors. These rectangular regions are simple to construct and appear to work well in a variety of cases explored empirically and by simulation. The proposed techniques are applied to provide confidence bands around the Fed and Bank of England real-time path-forecasts of growth and inflation. |
| 主题 | International Macroeconomics |
| 关键词 | Forecast uncertainty Path forecast Scheffe 's s-method Simultaneous confidence region |
| URL | https://cepr.org/publications/dp7797 |
| 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/536632 |
| 推荐引用方式 GB/T 7714 | Massimiliano Marcellino,Malte Knüppel,Oscar Jorda. DP7797 Empirical Simultaneous Confidence Regions for Path-Forecasts. 2010. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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