Assessing distributional properties of forecast errors for fan-chart modelling

Marian Vavra ()

Empirical Economics, 2020, vol. 59, issue 6, No 10, 2858 pages

Abstract: Abstract This paper considers the problem of assessing the distributional properties (normality and symmetry) of macroeconomic forecast errors of G7 countries for the purpose of fan-chart modelling. Our results indicate that the assumption of symmetry of the marginal distribution of forecast errors is reasonable, whereas the assumption of normality is not, making symmetric prediction intervals clearly preferable.

Keywords: Normality; Symmetry; Forecast errors; Prediction interval; Fan-chart; Sieve bootstrap (search for similar items in EconPapers)
JEL-codes: C12 C15 C22 C53 (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1007/s00181-019-01726-0

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