Efficient estimation of forecast uncertainty based on recent forecast errors
Multi-step-ahead forecasts of forecast uncertainty in practice are often based on the horizon-specific sample means of recent squared forecast errors, where the number of available past forecast errors decreases one-to-one with the forecast horizon. In this paper, the efficiency gains from the joint estimation of forecast uncertainty for all horizons in such samples are investigated. Considering optimal forecasts, the efficiency gains can be substantial if the sample is not too large. If forecast uncertainty is estimated by seemingly unrelated regressions, the covariance matrix of the squared forecast errors does not have to be estimated, but simply needs to have a certain structure. In Monte Carlo studies it is found that seemingly unrelated regressions mostly yield estimates which are more efficient than the sample means even if the forecasts are not optimal. Seemingly unrelated regressions are used to address questions concerning the inflation forecast uncertainty of the Bank of England.
|Date of creation:||2009|
|Contact details of provider:|| Postal: Postfach 10 06 02, 60006 Frankfurt|
Phone: 0 69 / 95 66 - 0
Fax: 0 69 / 95 66 30 77
Web page: http://www.bundesbank.de/
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.:
- Giordani, Paolo & Soderlind, Paul, 2003.
"Inflation forecast uncertainty,"
European Economic Review,
Elsevier, vol. 47(6), pages 1037-1059, December.
- Giordani, Paolo & Soderlind, Paul, 2000. "Inflation Forecast Uncertainty," SSE/EFI Working Paper Series in Economics and Finance 384, Stockholm School of Economics, revised 06 Nov 2001.
- Söderlind, Paul, 2000. "Inflation Forecast Uncertainty," CEPR Discussion Papers 2499, C.E.P.R. Discussion Papers.
- Knüppel, Malte, 2014.
"Efficient estimation of forecast uncertainty based on recent forecast errors,"
International Journal of Forecasting,
Elsevier, vol. 30(2), pages 257-267.
- Knüppel, Malte, 2009. "Efficient estimation of forecast uncertainty based on recent forecast errors," Discussion Paper Series 1: Economic Studies 2009,28, Deutsche Bundesbank, Research Centre.
- Im, Eric Iksoon, 1994. "Unequal numbers of observations and partial efficiency gain," Economics Letters, Elsevier, vol. 46(4), pages 291-294, December.
- Davies, Anthony & Lahiri, Kajal, 1995. "A new framework for analyzing survey forecasts using three-dimensional panel data," Journal of Econometrics, Elsevier, vol. 68(1), pages 205-227, July.
- Clements,Michael & Hendry,David, 1998. "Forecasting Economic Time Series," Cambridge Books, Cambridge University Press, number 9780521632423, May.
- Fushang Liu & Kajal Lahiri, 2006.
"Modelling multi-period inflation uncertainty using a panel of density forecasts,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 21(8), pages 1199-1219.
- Kajal Lahiri & Fushang Liu, 2006. "Modeling Multi-Period Inflation Uncertainty Using a Panel of Density Forcasts," Discussion Papers 06-05, University at Albany, SUNY, Department of Economics.
- Victor Zarnowitz & Louis A. Lambros, 1983. "Consensus and Uncertainty in Economic Prediction," NBER Working Papers 1171, National Bureau of Economic Research, Inc.
- Brown, Bryan W & Maital, Shlomo, 1981. "What Do Economists Know? An Empirical Study of Experts' Expectations," Econometrica, Econometric Society, vol. 49(2), pages 491-504, March.
- Kajal Lahiri & Xuguang Sheng, 2010. "Measuring forecast uncertainty by disagreement: The missing link," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 25(4), pages 514-538.
- Kajal Lahiri & Xuguang Sheng, 2008. "Measuring Forecast Uncertainty by Disagreement: The Missing Link," ifo Working Paper Series 60, ifo Institute - Leibniz Institute for Economic Research at the University of Munich.
- Kajal Lahiri & Xuguang Sheng, 2009. "Measuring Forecast Uncertainty by Disagreement: The Missing Link," Discussion Papers 09-06, University at Albany, SUNY, Department of Economics.
- Makridakis, Spyros & Hogarth, Robin M. & Gaba, Anil, 2009. "Forecasting and uncertainty in the economic and business world," International Journal of Forecasting, Elsevier, vol. 25(4), pages 794-812, October.
- Zarnowitz, Victor, 1985. "Rational Expectations and Macroeconomic Forecasts," Journal of Business & Economic Statistics, American Statistical Association, vol. 3(4), pages 293-311, October.
- Wallis, Kenneth F, 1989. "Macroeconomic Forecasting: A Survey," Economic Journal, Royal Economic Society, vol. 99(394), pages 28-61, March.
- Zarnowitz, Victor & Lambros, Louis A, 1987. "Consensus and Uncertainty in Economic Prediction," Journal of Political Economy, University of Chicago Press, vol. 95(3), pages 591-621, June.
- David L. Reifschneider & Peter Tulip, 2007. "Gauging the uncertainty of the economic outlook from historical forecasting errors," Finance and Economics Discussion Series 2007-60, Board of Governors of the Federal Reserve System (U.S.). Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:zbw:bubdp1:200928. 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: (ZBW - German National Library of Economics)
If references are entirely missing, you can add them using this form.