Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors
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- Todd E. Clark & Michael W. McCracken & Elmar Mertens, 2020. "Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors," The Review of Economics and Statistics, MIT Press, vol. 102(1), pages 17-33, March.
- Todd E. Clark & Michael W. McCracken & Elmar Mertens, 2017. "Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors," Working Papers 201715R, Federal Reserve Bank of Cleveland.
- Todd E. Clark & Michael W. McCracken & Elmar Mertens, 2017. "Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors," Working Papers (Old Series) 1715, Federal Reserve Bank of Cleveland.
- Todd E. Clark & Michael W. McCracken & Elmar Mertens, 2017. "Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors," Working Papers 2017-026, Federal Reserve Bank of St. Louis.
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- Rossi, Barbara, 2020. "Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them," CEPR Discussion Papers 14472, C.E.P.R. Discussion Papers.
- Barbara Rossi, 2019. "Forecasting in the presence of instabilities: How do we know whether models predict well and how to improve them," Economics Working Papers 1711, Department of Economics and Business, Universitat Pompeu Fabra.
- Galvao, Ana Beatriz & Garratt, Anthony & Mitchell, James, 2020. "Does Judgment Improve Macroeconomic Density Forecasts?," EMF Research Papers 33, Economic Modelling and Forecasting Group.
- Knüppel, Malte & Schultefrankenfeld, Guido, 2019.
"Assessing the uncertainty in central banks’ inflation outlooks,"
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- Knüppel, Malte & Schultefrankenfeld, Guido, 2018. "Assessing the uncertainty in central banks' inflation outlooks," Discussion Papers 56/2018, Deutsche Bundesbank.
- Kajal Lahiri & Huaming Peng & Xuguang Sheng, 2015.
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- Kajal Lahiri & Huaming Peng & Xuguang Sheng, 2020. "Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity," CESifo Working Paper Series 8810, CESifo.
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- Reifschneider, David & Tulip, Peter, 2019. "Gauging the uncertainty of the economic outlook using historical forecasting errors: The Federal Reserve’s approach," International Journal of Forecasting, Elsevier, vol. 35(4), pages 1564-1582.
- Mirela Miescu, 2019. "Uncertainty shocks in emerging economies," Working Papers 277077821, Lancaster University Management School, Economics Department.
- Knüppel, Malte, 2018.
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International Journal of Forecasting, Elsevier, vol. 34(1), pages 105-116.
- Knüppel, Malte, 2014. "Forecast-error-based estimation of forecast uncertainty when the horizon is increased," Discussion Papers 40/2014, Deutsche Bundesbank.
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More about this item
Keywords
stochastic volatility; survey forecasts; fan charts;All these keywords.
JEL classification:
- E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2017-11-12 (Econometrics)
- NEP-ETS-2017-11-12 (Econometric Time Series)
- NEP-FOR-2017-11-12 (Forecasting)
- NEP-MAC-2017-11-12 (Macroeconomics)
- NEP-ORE-2017-11-12 (Operations Research)
- NEP-RMG-2017-11-12 (Risk Management)
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