Assessing Distributional Properties of Forecast Errors
Marian Vavra ()
No WP 3/2018, Working and Discussion Papers from Research Department, National Bank of Slovakia
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)
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Persistent link: https://EconPapers.repec.org/RePEc:svk:wpaper:1056
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