EconStor >
Verein für Socialpolitik >
Jahrestagung des Vereins für Socialpolitik 2010: Ökonomie der Familie >

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

http://hdl.handle.net/10419/37175
  
Title:Empirical Simultaneous Confidence Regions for Path-Forecasts PDF Logo
Authors:Knüppel, Malte
Jordà, Òscar
Marcellino, Massimiliano
Issue Date:2010
Series/Report no.:Beiträge zur Jahrestagung des Vereins für Socialpolitik 2010: Ökonomie der Familie - Session: Advances in Time Series Analysis B6-V1
Abstract:A probabilistic assessment about the set of possible trajectories that a random 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. Moreover, the high-dimensional nature of the forecast generating distribution in such cases makes non-parametric estimation impractical given commonly available predictive samples. 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.
Subjects:path forecast
forecast uncertainty
simultaneous confidence region
Scheffé's S-method
Mahalanobis distance
false discovery rate
JEL:C32
C52
C53
Document Type:Conference Paper
Appears in Collections:Jahrestagung des Vereins für Socialpolitik 2010: Ökonomie der Familie

Files in This Item:
File Description SizeFormat
VfS_2010_pid_440.pdf950.07 kBAdobe PDF
No. of Downloads: Counter Stats
Download bibliographical data as: BibTeX
Share on:http://hdl.handle.net/10419/37175

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