Forecast Uncertainties in Macroeconometric Modelling: An Application to the UK Economy

A. Garratt, Kevin Lee (), Mohammad Pesaran and Yongcheol Shin

Cambridge Working Papers in Economics from Faculty of Economics, University of Cambridge

Abstract: This paper argues that probability forecasts convey information on the uncertainties that surround macroeconomic forecasts in a manner which is straightforward and which is preferable to other alternatives, including the use of confidence intervals. Probability forecasts relating to UK output growth and inflation, obtained using a small macroeconometric model, are presented. The authors discuss in detail the probability that inflation will fall within the Bank of England's target range and that recession will be avoided, both as separate single events and jointly. The probability forecasts are also used to provide insights on the interrelatedness of output growth and inflation outcomes at different horizons.

Keywords: Probability forecasting; Long-run structural VARs; Macroeconometric modelling; Probability forecasts of inflation; Interest rates and output growth (search for similar items in EconPapers)
JEL-codes: C32 C53 E17 (search for similar items in EconPapers)
Date: 2000-05
New Economics Papers: this item is included in nep-ets
Note: EM
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Citations: View citations in EconPapers (22)

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Related works:
Working Paper: Forecast Uncertainties In Macroeconometric Modelling: An Application to the UK Economy (2002)
Working Paper: Forecast Uncertainties in Macroeconometric Modelling: An Application to the UK Economy (2000)
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Persistent link: https://EconPapers.repec.org/RePEc:cam:camdae:0004

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