Long-term prediction intervals of economic time series

Marek Chudy, Sayar Karmakar and Wei Biao Wu

Papers from arXiv.org

Abstract: We construct long-term prediction intervals for time-aggregated future values of univariate economic time series. We propose computational adjustments of the existing methods to improve coverage probability under a small sample constraint. A pseudo-out-of-sample evaluation shows that our methods perform at least as well as selected alternative methods based on model-implied Bayesian approaches and bootstrapping. Our most successful method yields prediction intervals for eight macroeconomic indicators over a horizon spanning several decades.

Date: 2020-02
New Economics Papers: this item is included in nep-ets
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Published in Empirical Economics, 58, 2020, 191-222

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2002.05384

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