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

Mohammad Pesaran

No 345, CESifo Working Paper Series from CESifo

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. We 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; output growth (search for similar items in EconPapers)
Date: 2000
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://www.cesifo.org/DocDL/cesifo_wp345.pdf (application/pdf)

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)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_345

Access Statistics for this paper

More papers in CESifo Working Paper Series from CESifo Contact information at EDIRC.
Bibliographic data for series maintained by Klaus Wohlrabe ().