IDEAS home Printed from https://ideas.repec.org/h/wsi/wschap/9789812778963_0001.html
   My bibliography  Save this book chapter

Forecast Uncertainty, Its Representation And Evaluation

In: Econometric Forecasting And High-Frequency Data Analysis

Author

Listed:
  • Kenneth F. Wallis

    (Department of Economics, University of Warwick, Coventry CV4 7AL, United Kingdom)

Abstract

The following sections are included:IntroductionMotivationOverviewA theoretical illustrationExampleGeneralisationsForecast evaluationMeasuring and Reporting Forecast UncertaintyModel-based measures of forecast uncertaintyThe linear regression modelEstimation error in multi-step forecastsStochastic simulation in non-linear modelsLoss functionsModel uncertaintyEmpirical measures of forecast uncertaintyReporting forecast uncertaintyForecast intervalsDensity forecastsGraphical presentationsAdditional examplesForecast scenariosUncertainty and disagreement in survey forecastsEvaluating Interval and Density ForecastsLikelihood ratio tests of interval forecastsChi-squared tests of interval forecastsExtensions to density forecastsThe probability integral transformationThe inverse normal transformationThe Bank of England's inflation forecastsComparing density forecastsConclusionReferences

Suggested Citation

  • Kenneth F. Wallis, 2008. "Forecast Uncertainty, Its Representation And Evaluation," World Scientific Book Chapters, in: Roberto S Mariano & Yiu-Kuen Tse (ed.), Econometric Forecasting And High-Frequency Data Analysis, chapter 1, pages 1-51, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812778963_0001
    as

    Download full text from publisher

    File URL: https://www.worldscientific.com/doi/pdf/10.1142/9789812778963_0001
    Download Restriction: Ebook Access is available upon purchase.
    File URL: https://www.worldscientific.com/doi/abs/10.1142/9789812778963_0001
    Download Restriction: Ebook Access is available upon purchase.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Simionescu, Mihaela, 2017. "Prediction intervals for inflation and unemployment rate in Romania. A Bayesian approach," GLO Discussion Paper Series 82, Global Labor Organization (GLO).
    2. Tsyplakov, Alexander, 2010. "The links between inflation and inflation uncertainty at the longer horizon," MPRA Paper 26908, University Library of Munich, Germany.
    3. Tsyplakov Alexander, 2010. "The links between inflation and inflation uncertainty at the longer horizon," EERC Working Paper Series 10/09e, EERC Research Network, Russia and CIS.
    4. Malte Knüppel, 2015. "Evaluating the Calibration of Multi-Step-Ahead Density Forecasts Using Raw Moments," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(2), pages 270-281, April.
    5. Coutiño, Alfredo, 2016. "Pitfalls in monetary policy decisions based on the output gap," Journal of Policy Modeling, Elsevier, vol. 38(1), pages 54-64.

    More about this item

    Keywords

    Econometric Forecasting; High-Frequency Data; Time Series; Seasonality; Compound Autoregressive Processes; Affine Processes; Macroeconomic Modeling; Evaluating Forecast Uncertainty; Financial Data Analysis;
    All these keywords.

    JEL classification:

    • C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • C7 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:wschap:9789812778963_0001. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Tai Tone Lim (email available below). General contact details of provider: http://www.worldscientific.com/page/worldscibooks .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.