Recent Developments in Density Forecasting

Stephen Hall and James Mitchell

Chapter 5 in Palgrave Handbook of Econometrics, 2009, pp 199-239 from Palgrave Macmillan

Abstract: Abstract With the growing recognition that point forecasts, the traditional focus, are better seen as the central points of ranges of uncertainty, in recent years increased emphasis has been given to density forecasts. This chapter reviews these recent developments, with a focus on the production and use of density forecasts in macroeconomics. Particular attention is paid to the evaluation and combination of density forecasts.

Keywords: Root Mean Square Error; Stochastic Volatility; Bayesian Model Average; Bayesian Model Average; Dynamic Stochastic General Equilibrium (search for similar items in EconPapers)
Date: 2009
References: Add references at CitEc
Citations: View citations in EconPapers (11)

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-0-230-24440-5_5

Ordering information: This item can be ordered from
http://www.palgrave.com/9780230244405

DOI: 10.1057/9780230244405_5

Access Statistics for this chapter

More chapters in Palgrave Macmillan Books from Palgrave Macmillan
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().