Investigating uncertainty in macroeconomic forecasts by stochastic simulation
We investigate four sources of uncertainty with CPBâ€™s macroeconomic model SAFFIER: provisional data, exogenous variables, model parameters and residuals of behavioural equations. Uncertainty is an inherent attribute of any forecast. We apply a Monte Carlo simulation technique to calculate standard errors for the short-term and medium-term horizon for GDP and eight other macroeconomic variables. The results demonstrate that the main contribution to the total variance of a medium-term forecast emanates from the uncertainty in the exogenous variables. For the short-term forecast both exogenous variables and provisional data are most relevant.
|Date of creation:||Sep 2008|
|Date of revision:|
|Contact details of provider:|| Postal: |
Phone: (070) 338 33 80
Fax: (070) 338 33 50
Web page: http://www.cpb.nl/
More information through EDIRC
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.:
- Garrat, A. & Lee, K. & Pesaran, M.H. & Shin, Y., 2000.
"Forecast Uncertainties in Macroeconometric Modelling: An Application to the UK Economy,"
Cambridge Working Papers in Economics
0004, Faculty of Economics, University of Cambridge.
- Garratt, Anthony & Kevin Lee & M Hashem Pesaran & Yongcheol Shin, 2002. "Forecast Uncertainties In Macroeconometric Modelling: An Application to the UK Economy," Royal Economic Society Annual Conference 2002 82, Royal Economic Society.
- M. Hashem Pesaran, 2000. "Forecast Uncertainties in Macroeconometric Modelling: An Application to the UK Economy," CESifo Working Paper Series 345, CESifo Group Munich.
- Canova, Fabio, 1995. "Sensitivity Analysis and Model Evaluation in Simulated Dynamic General Equilibrium Economies," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 36(2), pages 477-501, May.
- Ray C. Fair, 2001.
"Bootstrapping Macroeconometric Models,"
Cowles Foundation Discussion Papers
1345, Cowles Foundation for Research in Economics, Yale University, revised Jun 2003.
- Alexei Onatski & Noah Williams, 2003.
"Modeling Model Uncertainty,"
NBER Working Papers
9566, National Bureau of Economic Research, Inc.
- Nigel Pain & Ray Barrell & Dawn Holland, 2001. "Openness, integration and transition: prospects and policies for economies in transition," NIESR Discussion Papers 165, National Institute of Economic and Social Research.
When requesting a correction, please mention this item's handle: RePEc:cpb:discus:112. 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: ()
If references are entirely missing, you can add them using this form.