Macroeconomic Interval Forecasting: The Case of Assessing the Risk of Deflation in Germany
AbstractThis paper proposes an approach for estimating the uncertainty associated with model-based macroeconomic forecasts. We argue that estimated forecast intervals should account for the uncertainty arising from selecting the specification of an empirical forecasting model from the sample data. To allow this uncertainty to be considered systematically, we formalize a model selection procedure that specifies the lag structure of a model and accounts for aberrant observations. The procedure can be used to bootstrap the complete model selection process when estimating forecast intervals. We apply the procedure to assess the risk of deflationary developments occurring in Germany over the next four years.
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Bibliographic InfoPaper provided by Kiel Institute for the World Economy in its series Kiel Working Papers with number 1153.
Length: 17 pages
Date of creation: Mar 2003
Date of revision:
model selection; forecasting prediction intervals; bootstrapping; deflation;
Find related papers by JEL classification:
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
- E0 - Macroeconomics and Monetary Economics - - General
- E5 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit
This paper has been announced in the following NEP Reports:
- NEP-ALL-2004-04-04 (All new papers)
- NEP-ECM-2004-04-04 (Econometrics)
- NEP-MAC-2004-04-04 (Macroeconomics)
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