Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors

Todd Clark, Michael McCracken and Elmar Mertens

No 2017-026, Working Papers from Federal Reserve Bank of St. Louis

Abstract: We develop uncertainty measures for point forecasts from surveys such as the Survey of Professional Forecasters, Blue Chip, or the Federal Open Market Committee's Summary of Economic Projections. At a given point of time, these surveys provide forecasts for macroeconomic variables at multiple horizons. To track time-varying uncertainty in the associated forecast errors, we derive a multiple-horizon specification of stochastic volatility. Compared to constant-variance approaches, our stochastic-volatility model improves the accuracy of uncertainty measures for survey forecasts.

Keywords: Stochastic volatility; survey forecasts; prediction (search for similar items in EconPapers)
JEL-codes: C32 C53 E47 (search for similar items in EconPapers)
Date: 2017-08-28
New Economics Papers: this item is included in nep-ecm, nep-for, nep-mac, nep-mon, nep-ore and nep-rmg
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Published in Review of Economics and Statistics

Downloads: (external link)
https://s3.amazonaws.com/real.stlouisfed.org/wp/2017/2017-026.pdf Full text (application/pdf)

Related works:
Journal Article: Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors (2020)
Working Paper: Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors (2017)
Working Paper: Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors (2017)
Working Paper: Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors (2017)
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:fip:fedlwp:2017-026

Ordering information: This working paper can be ordered from

DOI: 10.20955/wp.2017.026

Access Statistics for this paper

More papers in Working Papers from Federal Reserve Bank of St. Louis Contact information at EDIRC.
Bibliographic data for series maintained by Scott St. Louis ().