Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/193859 
Year of Publication: 
2016
Citation: 
[Journal:] Economic Review: Journal of Economics and Business [ISSN:] 1512-8962 [Volume:] 14 [Issue:] 1 [Publisher:] University of Tuzla, Faculty of Economics [Place:] Tuzla [Year:] 2016 [Pages:] 80-89
Publisher: 
University of Tuzla, Faculty of Economics, Tuzla
Abstract: 
The forecast uncertainty was one of the causes of the recent economic crisis and its evaluation became more necessary nowadays. The aim of this paper is to build and assess different types of forecast intervals for quarterly inflation rate in Romania. The Bootstrap Bias-corrected-accelerated (BCA) forecast intervals outperformed the intervals based on historical errors, four out of six values of inflation rate being placed in the first type of intervals during Q3:2013-Q4:2014. The likelihood ratio tests and the chi-square test indicated that there are significant differences between the ex-ante probability of 0.95 and the real probabilities for both types of forecast intervals. As a methodological novelty, Monte Carlo and bootstrap simulations were used for assessing the uncertainty in inflation rate forecasts in Romania.
Subjects: 
Uncertainty
Forecasts
Forecast intervals
Inflation rate
Monte Carlo
simulations
Bootstrap BCA
JEL: 
E17
C53
Document Type: 
Article

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