Long-term prediction intervals of economic time series

• Tác giả: Marek Chudy, Sayar Karmakar, Wei Biao Wu
• Ngôn ngữ: eng
• Ký hiệu phân loại: 525.63 Earth (Astronomical geography)
• Thông tin xuất bản: 2020
• Bộ sưu tập: Metadata
• ID: 163944

Tóm tắt

We construct long-term prediction intervals for time-aggregated future values of univariate economic time series. We propose computational adjustments of the existing methods to improve coverage probability under a small sample constraint. A pseudo-out-of-sample evaluation shows that our methods perform at least as well as selected alternative methods based on model-implied Bayesian approaches and bootstrapping. Our most successful method yields prediction intervals for eight macroeconomic indicators over a horizon spanning several decades.