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Assessing distributional properties of forecast errors for fan-chart modelling

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  • Marián Vávra

    (Comenius University in Bratislava
    National Bank of Slovakia)

Abstract

This paper considers the problem of assessing the distributional properties (normality and symmetry) of macroeconomic forecast errors of G7 countries for the purpose of fan-chart modelling. Our results indicate that the assumption of symmetry of the marginal distribution of forecast errors is reasonable, whereas the assumption of normality is not, making symmetric prediction intervals clearly preferable.

Suggested Citation

  • Marián Vávra, 2020. "Assessing distributional properties of forecast errors for fan-chart modelling," Empirical Economics, Springer, vol. 59(6), pages 2841-2858, December.
    • Handle: RePEc:spr:empeco:v:59:y:2020:i:6:d:10.1007_s00181-019-01726-0
    DOI: 10.1007/s00181-019-01726-0
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    More about this item

    Keywords

    Normality; Symmetry; Forecast errors; Prediction interval; Fan-chart; Sieve bootstrap;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods

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