On the uncertainty and risks of macroeconomic forecasts: combining judgements with sample and model information
Institutions which publish macroeconomic forecasts usually do not rely on a single econometric model to generate their forecasts. The combination of judgements with information from different models complicates the problem of characterizing the predictive density. This paper proposes a parametric approach to construct the joint and marginal densities of macroeconomic forecasting errors, combining judgements with sample and model information. We assume that the relevant variables are linear combinations of latent independent two-piece normal variables. The baseline point forecasts are interpreted as the mode of the joint distribution, which has the convenient feature of being invariant to judgments on the balance of risks.
(This abstract was borrowed from another version of this item.)
Volume (Year): 42 (2012)
Issue (Month): 3 (June)
|Contact details of provider:|| Web page: http://www.springer.com|
|Order Information:||Web: http://www.springer.com/economics/econometrics/journal/181/PS2|
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Villani, Mattias & Larsson, Rolf, 2004. "The Multivariate Split Normal Distribution and Asymmetric Principal Components Analysis," Working Paper Series 175, Sveriges Riksbank (Central Bank of Sweden).
- Cogley, Timothy W. & Morozov, Sergei & Sargent, Thomas J., 2003.
"Bayesian fan charts for UK inflation: Forecasting and sources of uncertainty in an evolving monetary system,"
CFS Working Paper Series
2003/44, Center for Financial Studies (CFS).
- Cogley, Timothy & Morozov, Sergei & Sargent, Thomas J., 2005. "Bayesian fan charts for U.K. inflation: Forecasting and sources of uncertainty in an evolving monetary system," Journal of Economic Dynamics and Control, Elsevier, vol. 29(11), pages 1893-1925, November.
- Kenneth F. Wallis, 2004. "An Assessment of Bank of England and National Institute Inflation Forecast Uncertainties," National Institute Economic Review, National Institute of Economic and Social Research, vol. 189(1), pages 64-71, July.
- Ferreira, Jose T.A.S. & Steel, Mark F.J., 2007.
"Model comparison of coordinate-free multivariate skewed distributions with an application to stochastic frontiers,"
Journal of Econometrics,
Elsevier, vol. 137(2), pages 641-673, April.
- Jose T.A.S. Ferreira & Mark F.J. Steel, 2004. "Model Comparison of Coordinate-Free Multivariate Skewed Distributions with an Application to Stochastic Frontiers," Econometrics 0404005, EconWPA.
- Calzolari, Giorgio & Panattoni, Lorenzo, 1990.
"Mode predictors in nonlinear systems with identities,"
International Journal of Forecasting,
Elsevier, vol. 6(3), pages 317-326, October.
- Calzolari, Giorgio & Panattoni, Lorenzo, 1988. "Mode predictors in nonlinear systems with identities," MPRA Paper 28845, University Library of Munich, Germany.
- Prakash Kannan & Selim Elekdag, 2009. "Incorporating Market Information into the Construction of the Fan Chart," IMF Working Papers 09/178, International Monetary Fund.
- repec:sae:niesru:v:167:y::i:1:p:106-112 is not listed on IDEAS
- Álvaro A. Novo & Maximiano Pinheiro, 2003. "Uncertainty And Risk Analysis Of Macroeconomic Forecasts: Fan Charts Revisited," Working Papers w200319, Banco de Portugal, Economics and Research Department.
- Claudia Miani & Stefano Siviero, 2010. "A non-parametric model-based approach to uncertainty and risk analysis of macroeconomic forecast," Temi di discussione (Economic working papers) 758, Bank of Italy, Economic Research and International Relations Area.
- Eric Leeper, 2003. "An "Inflation Reports" Report," NBER Working Papers 10089, National Bureau of Economic Research, Inc.
When requesting a correction, please mention this item's handle: RePEc:spr:empeco:v:42:y:2012:i:3:p:639-665. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla)or (Rebekah McClure)
If references are entirely missing, you can add them using this form.