EconPapers    
Economics at your fingertips  
 

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

Anthony Garratt (), Kevin Lee (), M Pesaran () and Yongcheol Shin ()

No 82, Royal Economic Society Annual Conference 2002 from Royal Economic Society

Abstract: This paper argues that probability forecasts convey information on the uncertainties that surround macro-economic forecasts in a straightforward manner which is preferable to other alternatives, including the use of confidence intervals. Point and probability forecasts obtained using a small macro-econometric model, are presented and evaluated using recursive forecasts generated from the model over the period 1999q1-2000q1. Out of sample probability forecasts of inflation and output growth are also provided over the period 2001q2-2003q1, and their implications discussed in relation to the Bank of England's inflation target and the need to avoid recessions, both as separate events and jointly. It is also shown how the probability forecasts can be used to provide insights on the inter-relationship of output growth and inflation at different horizons.

Date: 2002-08-29
New Economics Papers: this item is included in nep-ets
References: Add references at CitEc
Citations: View citations in EconPapers (59) Track citations by RSS feed

Downloads: (external link)
http://repec.org/res2002/Garratt full text

Related works:
Working Paper: Forecast Uncertainties in Macroeconometric Modelling: An Application to the UK Economy (2000) Downloads
Working Paper: Forecast Uncertainties in Macroeconometric Modelling: An Application to the UK Economy (2000) Downloads
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:ecj:ac2002:82

Access Statistics for this paper

More papers in Royal Economic Society Annual Conference 2002 from Royal Economic Society Contact information at EDIRC.
Bibliographic data for series maintained by Christopher F. Baum ().

 
Page updated 2020-02-23
Handle: RePEc:ecj:ac2002:82