Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors

Todd Clark, Michael McCracken and Elmar Mertens

No 1715, Working Papers (Old Series) from Federal Reserve Bank of Cleveland

Abstract: We develop uncertainty measures for point forecasts from surveys such as the Survey of Professional Forecasters, Blue Chip, or the Federal Open Market Committee?s Summary of Economic Projections. At a given point of time, these surveys provide forecasts for macroeconomic variables at multiple horizons. To track time-varying uncertainty in the associated forecast errors, we derive a multiple-horizon specification of stochastic volatility. Compared to constant-variance approaches, our stochastic-volatility model improves the accuracy of uncertainty measures for survey forecasts.

Keywords: Stochastic volatility; survey forecasts; fan charts (search for similar items in EconPapers)
JEL-codes: C53 E37 (search for similar items in EconPapers)
Pages: 57 pages
Date: 2017-09-25
New Economics Papers: this item is included in nep-ets, nep-for, nep-mac, nep-mon and nep-ore
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Citations: View citations in EconPapers (7)

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Related works:
Journal Article: Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors (2020)
Working Paper: Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors (2017)
Working Paper: Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors (2017)
Working Paper: Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedcwp:1715

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DOI: 10.26509/frbc-wp-201715

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