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Assessing Distributional Properties of Forecast Errors

Marian Vavra ()

No WP 3/2018, Working and Discussion Papers from Research Department, National Bank of Slovakia

Abstract: This paper considers the problem of assessing the distributional properties (normality and symmetry) of macroeconomic forecast errors of G7 countries for the purpose of fan-chart modelling. Test statistics based on a Cramer von-Mises distance are used with critical values obtained via a bootstrap. Our results indicate that the assumption of symmetry of the marginal distribution of forecast errors is reasonable whereas the assumption of normality is not.

Keywords: Normality; Symmetry; Forecast errors; Prediction intervals; Bootstrap (search for similar items in EconPapers)
JEL-codes: C12 C15 C22 C53 (search for similar items in EconPapers)
Date: 2018-03
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