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Calibration-Based Predictive Distributions: An Application of Prequential Analysis to Interest Rates, Money, Prices, and Output

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  • Kling, John L
  • Bessler, David A

Abstract

Some techniques of probability forecasting are applied to time-series data on interest rates, money stock, consumer prices, and output. A sequential method for debiasing (recalibrating) predictive distributions and outcomes is developed, and the authors estimated sequences of unadjusted and recalibrated distributions are tested for calibration. After recalibration, the calibration hypothesis cannot be rejected for most of the time-series and forecast horizons. Furthermore, traditional point forecasts can be improved when the forecasts are derived from recalibrated distributions. Copyright 1989 by the University of Chicago.

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Bibliographic Info

Article provided by University of Chicago Press in its journal Journal of Business.

Volume (Year): 62 (1989)
Issue (Month): 4 (October)
Pages: 477-99

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Handle: RePEc:ucp:jnlbus:v:62:y:1989:i:4:p:477-99

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Web page: http://www.journals.uchicago.edu/JB/

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Cited by:
  1. Casillas-Olvera, Gabriel & Bessler, David A., 2006. "Probability forecasting and central bank accountability," Journal of Policy Modeling, Elsevier, vol. 28(2), pages 223-234, February.
  2. Frank Schorfheide & Dongho Song, 2012. "Real-time forecasting with a mixed-frequency VAR," Working Papers 701, Federal Reserve Bank of Minneapolis.
  3. Edward Herbst & Frank Schorfheide, 2012. "Evaluating DSGE model forecasts of comovements," Finance and Economics Discussion Series 2012-11, Board of Governors of the Federal Reserve System (U.S.).
  4. Marco Del Negro & Frank Schorfheide, 2012. "DSGE model-based forecasting," Staff Reports 554, Federal Reserve Bank of New York.
  5. David Bessler & Robert Ruffley, 2004. "Prequential analysis of stock market returns," Applied Economics, Taylor & Francis Journals, vol. 36(5), pages 399-412.
  6. Goodwin, Barry K., 1992. "Forecasting Cattle Prices In The Presence Of Structural Change," Southern Journal of Agricultural Economics, Southern Agricultural Economics Association, vol. 24(02), December.

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