THE ASSESSMENT AND IMPROVEMENT OF THE ACCURACY FOR THE FORECAST INTERVALS
Mihaela Simionescu (Bratu)
Working Papers of Macroeconomic Modelling Seminar from Institute for Economic Forecasting
The objective of this research is to present some accuracy measures associated to forecast intervals, taken into account the fact that in literature some specific accuracy indicators for this type of prediction have not been proposed yet. For the quarterly inflation rate provided by the National Bank of Romania, forecast intervals were built on the horizon 2010-2012. According to the number of intervals that include the real value and to an econometric procedure based on DUMMY variables, the intervals based on historical errors (RMSE- root mean squared errors) are better than those based on BCA bootstrap procedure. However, the new indicator proposed in this paper as a measure of global accuracy, M indicator, the forecast intervals based on BCA bootstraping are more accurate than the intervals based on historical RMSE. Bayesian intervals were constructed for quarterly USA inflation in 2012 using aprioristic information, but the smaller intervals did not imply an increase in the degree of accuracy.
Keywords: forecast intervals; accuracy; uncertainty; BCA bootstrap intervals; indicator M (search for similar items in EconPapers)
JEL-codes: C10 C14 L6 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-for
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed
Downloads: (external link)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:rjr:wpmems:132602
Access Statistics for this paper
More papers in Working Papers of Macroeconomic Modelling Seminar from Institute for Economic Forecasting Contact information at EDIRC.
Series data maintained by Corina Saman ().