Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors
نویسندگان
چکیده
منابع مشابه
Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors
We develop uncertainty measures for point forecasts from surveys such as the Survey of Professional Forecasters, Blue Chip, or the Federal Open Market Committee’s Summary of Economic Projections. At a given point of time, these surveys provide forecasts for macroeconomic variables at multiple horizons. To track time-varying uncertainty in the associated forecast errors, we derive a multiple-hor...
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ژورنال
عنوان ژورنال: The Review of Economics and Statistics
سال: 2020
ISSN: 0034-6535,1530-9142
DOI: 10.1162/rest_a_00809