Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/32454 
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dc.contributor.authorJordà, Òscaren
dc.contributor.authorKnüppel, Malteen
dc.contributor.authorMarcellino, Massimilianoen
dc.date.accessioned2010-05-10-
dc.date.accessioned2010-05-14T13:48:08Z-
dc.date.available2010-05-14T13:48:08Z-
dc.date.issued2010-
dc.identifier.isbn978-3-86558-605-6en
dc.identifier.urihttp://hdl.handle.net/10419/32454-
dc.description.abstractMeasuring and displaying uncertainty around path-forecasts, i.e. forecasts made in period T about the expected trajectory of a random variable in periods T+1 to T+H is a key ingredient for decision making under uncertainty. The probabilistic assessment about the set of possible trajectories that the variable may follow over time is summarized by the simultaneous confidence region generated from its forecast generating distribution. However, if the null model is only approximative or altogether unavailable, one cannot derive analytic expressions for this confidence region, and its non-parametric estimation is impractical given commonly available predictive sample sizes. Instead, this paper derives the approximate rectangular confidence regions that control false discovery rate error, which are a function of the predictive sample covariance matrix and the empirical distribution of the Mahalanobis distance of the path-forecast errors. These rectangular regions are simple to construct and appear to work well in a variety of cases explored empirically and by simulation. The proposed techniques are applied to provide confidence bands around the Fed and Bank of England real-time path-forecasts of growth and inflation.en
dc.language.isoengen
dc.publisher|aDeutsche Bundesbank |cFrankfurt a. M.en
dc.relation.ispartofseries|aDiscussion Paper Series 1 |x2010,06en
dc.subject.jelC32en
dc.subject.jelC52en
dc.subject.jelC53en
dc.subject.ddc330en
dc.subject.keywordPath forecasten
dc.subject.keywordforecast uncertaintyen
dc.subject.keywordsimultaneous confidence regionen
dc.subject.keywordScheffé's S-methoden
dc.subject.keywordMahalanobis distanceen
dc.subject.keywordfalse discovery rateen
dc.subject.stwPrognoseverfahrenen
dc.subject.stwEntscheidung bei Unsicherheiten
dc.subject.stwZeitreihenanalyseen
dc.subject.stwSchätztheorieen
dc.subject.stwTheorieen
dc.subject.stwSchätzungen
dc.subject.stwInflationen
dc.subject.stwKonjunkturprognoseen
dc.subject.stwUSAen
dc.subject.stwGroßbritannienen
dc.titleEmpirical simultaneous confidence regions for path-forecasts-
dc.typeWorking Paperen
dc.identifier.ppn625818881en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:zbw:bubdp1:201006en

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