Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/2955
Authors: 
Borbély, Dóra
Meier, Carsten-Patrick
Year of Publication: 
2003
Series/Report no.: 
Kiel Working Paper 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: 
forecasting prediction intervals
bootstrapping
deflation
model selection
JEL: 
E0
E5
C5
Document Type: 
Working Paper

Files in This Item:
File
Size
238.9 kB





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