EconStor >
Deutsche Bundesbank, Forschungszentrum, Frankfurt am Main >
Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/32454
  

Full metadata record

DC FieldValueLanguage
dc.contributor.authorJordà, Òscaren_US
dc.contributor.authorKnüppel, Malteen_US
dc.contributor.authorMarcellino, Massimilianoen_US
dc.date.accessioned2010-05-10en_US
dc.date.accessioned2010-05-14T13:48:08Z-
dc.date.available2010-05-14T13:48:08Z-
dc.date.issued2010en_US
dc.identifier.isbn978-3-86558-605-6en_US
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_US
dc.language.isoengen_US
dc.publisherDt. Bundesbank Frankfurt, M.en_US
dc.relation.ispartofseriesDiscussion Paper Series 1: Economic Studies 2010,06en_US
dc.subject.jelC32en_US
dc.subject.jelC52en_US
dc.subject.jelC53en_US
dc.subject.ddc330en_US
dc.subject.keywordPath forecasten_US
dc.subject.keywordforecast uncertaintyen_US
dc.subject.keywordsimultaneous confidence regionen_US
dc.subject.keywordScheffé's S-methoden_US
dc.subject.keywordMahalanobis distanceen_US
dc.subject.keywordfalse discovery rateen_US
dc.subject.stwPrognoseverfahrenen_US
dc.subject.stwEntscheidung bei Unsicherheiten_US
dc.subject.stwZeitreihenanalyseen_US
dc.subject.stwSchätztheorieen_US
dc.subject.stwTheorieen_US
dc.subject.stwSchätzungen_US
dc.subject.stwInflationen_US
dc.subject.stwKonjunkturprognoseen_US
dc.subject.stwUSAen_US
dc.subject.stwGroßbritannienen_US
dc.titleEmpirical simultaneous confidence regions for path-forecastsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn625818881en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:zbw:bubdp1:201006-
Appears in Collections:Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank

Files in This Item:
File Description SizeFormat
625818881.pdf1.89 MBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.