From Fixed‐Event to Fixed‐Horizon Density Forecasts: Obtaining Measures of Multihorizon Uncertainty from Survey Density Forecasts

Gergely Ganics, Barbara Rossi and Tatevik Sekhposyan

Journal of Money, Credit and Banking, 2024, vol. 56, issue 7, 1675-1704

Abstract: The U.S. Survey of Professional Forecasters produces precise and timely point forecasts for key macro‐economic variables. However, the accompanying density forecasts are mostly conducted for “fixed events.” For example, in each quarter, panelists predict output growth and inflation for the current calendar year and the next, hence the forecast horizon changes with each survey round. This limits the forecasts' usefulness to policymakers, researchers, and market participants. We propose a density combination approach that weights fixed‐event density forecasts, aiming at obtaining a correctly calibrated fixed‐horizon density forecast. We show that our method produces competitive density forecasts relative to widely used alternatives.

Date: 2024
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Citations: View citations in EconPapers (2)

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https://doi.org/10.1111/jmcb.13105

Related works:
Working Paper: From Fixed-Event to Fixed-Horizon Density Forecasts: Obtaining Measures of Multi-Horizon Uncertainty from Survey Density Forecasts (2020)
Working Paper: From fixed-event to fixed-horizon density forecasts: obtaining measures of multi-horizon uncertainty from survey density forecasts (2019)
Working Paper: From fixed-event to fixed-horizon density forecasts: Obtaining measures of multi-horizon uncertainty from survey density forecasts (2019)
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