Arbeitspapier
Forecast-error-based estimation of forecast uncertainty when the horizon is increased
Recently, several institutions have increased their forecast horizons, and many institutions rely on their past forecast errors to estimate measures of forecast uncertainty. This work addresses the question how the latter estimation can be accomplished if there are only very few errors available for the new forecast horizons. It extends upon the results of Knüppel (2014) in order to relax the condition on the data structure required for the SUR estimator to be independent from unknown quantities. It turns out that the SUR estimator of forecast uncertainty tends to deliver large efficiency gains compared to the OLS estimator (i.e. the sample mean of the squared forecast errors) in the case of increased forecast horizons. The SUR estimator is applied to the forecast errors of the Bank of England and the FOMC.
- ISBN
-
978-3-95729-100-4
- Sprache
-
Englisch
- Erschienen in
-
Series: Bundesbank Discussion Paper ; No. 40/2014
- Klassifikation
-
Wirtschaft
Estimation: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
Forecasting Models; Simulation Methods
- Thema
-
multi-step-ahead forecasts
forecast error variance
SUR
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Knüppel, Malte
- Ereignis
-
Veröffentlichung
- (wer)
-
Deutsche Bundesbank
- (wo)
-
Frankfurt a. M.
- (wann)
-
2014
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Knüppel, Malte
- Deutsche Bundesbank
Entstanden
- 2014
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