Empirical simultaneous prediction regions for path-forecasts

Oscar Jorda, Malte Knüppel and Massimiliano Marcellino

No 2012-05, Working Paper Series from Federal Reserve Bank of San Francisco

Abstract: This paper investigates the problem of constructing prediction regions for forecast trajectories 1 to H periods into the future - a path forecast. We take the more general view that the null model is only approximative and in some cases it may be altogether unavailable. As a consequence, one cannot derive the usual analytic expressions nor resample from the null model as is usually done when bootstrap methods are used. The paper derives methods to construct approximate rectangular regions for simultaneous probability coverage which correct for serial correlation. The techniques appear to work well in simulations and in an application to the Greenbook path-forecasts of growth and inflation.

Keywords: Forecasting (search for similar items in EconPapers)
Date: 2012
New Economics Papers: this item is included in nep-ecm, nep-for and nep-mac
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Journal Article: Empirical simultaneous prediction regions for path-forecasts (2013)
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