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Title:Macroeconomic interval forecasting : the case of assessing the risk of deflation in Germany PDF Logo
Authors:Borbély, Dóra
Meier, Carsten-Patrick
Issue Date:2003
Series/Report no.:Kieler Arbeitspapiere 1153
Abstract:This paper proposes an approach for estimating the uncertainty associated with model-based macroeconomic forecasts. We argue that estimated forecast intervals should account for the uncertainty arising from selecting the specification of an empirical forecasting model from the sample data. To allow this uncertainty to be considered systematically, we formalize a model selection procedure that specifies the lag structure of a model and accounts for aberrant observations. The procedure can be used to bootstrap the complete model selection process when estimating forecast intervals. We apply the procedure to assess the risk of deflationary developments occurring in Germany over the next four years.
Subjects:model selection
forecasting prediction intervals
Document Type:Working Paper
Appears in Collections:Publikationen von Forscherinnen und Forschern des IfW
Kieler Arbeitspapiere, IfW

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