Macroeconomic interval forecasting: the case of assessing the risk of deflation in Germany

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Kiel Working Paper ; No. 1153

Classification and Topics

• Classification: Wirtschaft
• Subject: forecasting prediction intervals ; bootstrapping ; deflation ; model selection ; Konjunkturprognose ; Prognoseverfahren ; Ökonometrisches Makromodell ; Deflation ; Phillips-Kurve ; Schätzung ; Deutschland

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Borbély, Dóra ; Meier, Carsten-Patrick
• Event: Veröffentlichung
• (who): Kiel Institute for World Economics (IfW)
• (where): Kiel
• (when): 2003

Further information

• Handle: http://hdl.handle.net/10419/2955
• Last update: 10.03.2025, 11:45 AM CET