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Modified Scheffé’s Prediction Bands

  • Anna Staszewska-Bystrova


    (University of Lotz, Poland)

The formula for the Scheffé prediction bands proposed by Jordà and Marcellino (2010) is reconsidered. It is demonstrated, that in many cases of practical interest, the bands fail to satisfactorily approximate the uncertainty associated with a path-forecast. A modification of the Scheffé method is proposed which improves the coverage properties of the bands.

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Article provided by Justus-Liebig University Giessen, Department of Statistics and Economics in its journal Journal of Economics and Statistics.

Volume (Year): 233 (2013)
Issue (Month): 5-6 (October)
Pages: 680-690

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Handle: RePEc:jns:jbstat:v:233:y:2013:i:5-6:p:680-690
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  1. Helmut Lütkepohl & Anna Staszewska-Bystrova & Peter Winker, 2013. "Comparison of Methods for Constructing Joint Confidence Bands for Impulse Response Functions," MAGKS Papers on Economics 201325, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
  2. Ivan Savin & Peter Winker, 2012. "Heuristic model selection for leading indicators in Russia and Germany," OECD Journal: Journal of Business Cycle Measurement and Analysis, OECD Publishing,Centre for International Research on Economic Tendency Surveys, vol. 2012(2), pages 67-89.
  3. Staszewska-Bystrova, Anna & Winker, Peter, 2013. "Constructing narrowest pathwise bootstrap prediction bands using threshold accepting," International Journal of Forecasting, Elsevier, vol. 29(2), pages 221-233.
  4. Anindya Banerjee & Victor Bystrov & Paul Mizen, 2013. "How Do Anticipated Changes to Short‐Term Market Rates Influence Banks' Retail Interest Rates? Evidence from the Four Major Euro Area Economies," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 45(7), pages 1375-1414, October.
  5. Winker, Peter & Meyer, Mark, 2004. "Using HP Filtered Data for Econometric Analysis : Some Evidence from Monte Carlo Simulations," Discussion Papers 2004,001E, University of Erfurt, Faculty of Economics, Law and Social Sciences.
  6. Konstantin A. Kholodilin & Boriss Siliverstovs, 2005. "On the Forecasting Properties of the Alternative Leading Indicators for the German GDP: Recent Evidence," Discussion Papers of DIW Berlin 522, DIW Berlin, German Institute for Economic Research.
  7. �scar Jordà, 2009. "Simultaneous Confidence Regions for Impulse Responses," The Review of Economics and Statistics, MIT Press, vol. 91(3), pages 629-647, August.
  8. Lorenzo Pascual & Esther Ruiz & Diego Fresoli, 2011. "Bootstrap forecast of multivariate VAR models without using the backward representation," Statistics and Econometrics Working Papers ws113426, Universidad Carlos III, Departamento de Estadística y Econometría.
  9. Kilian, Lutz, 2001. "Impulse Response Analysis in Vector Autoregressions with Unknown Lag Order," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(3), pages 161-79, April.
  10. �scar Jord� & Massimiliano Marcellino, 2010. "Path forecast evaluation," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(4), pages 635-662.
  11. Staszewska, Anna, 2007. "Representing uncertainty about response paths: The use of heuristic optimisation methods," Computational Statistics & Data Analysis, Elsevier, vol. 52(1), pages 121-132, September.
  12. Anna Staszewska‐Bystrova, 2011. "Bootstrap prediction bands for forecast paths from vector autoregressive models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 30(8), pages 721-735, December.
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