Calculating Interval Forecasts

Chris Chatfield

Journal of Business & Economic Statistics, 1993, vol. 11, issue 2, 121-35

Abstract: Several general approaches to calculating interval forecasts are described and compared. They include the use of theoretical formulae based on a fitted probability model, various "approximate" formulae (which should be avoided), and empirically-based, simulation, and resampling procedures. Some gener al comments are made as to why prediction intervals tend to be too narr ow in practice to encompass the required proportion of future observations. An example demonstrates the overriding importance of careful model specification.

Date: 1993
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Persistent link: https://EconPapers.repec.org/RePEc:bes:jnlbes:v:11:y:1993:i:2:p:121-35

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