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

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.

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Year of publication:	2003
Authors:	Borbély, Dóra ; Meier, Carsten-Patrick
Publisher:	Kiel : Kiel Institute for the World Economy (IfW)
Subject:	Konjunkturprognose \| Prognoseverfahren \| Ökonometrisches Makromodell \| Deflation \| Phillips-Kurve \| Schätzung \| Deutschland \| forecasting prediction intervals \| bootstrapping \| deflation \| model selection

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Series:	Kiel Working Paper ; 1153
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	362671850 [GVK] hdl:10419/2955 [Handle] RePEc:zbw:ifwkwp:1153 [RePEc]
Classification:	E0 - Macroeconomics and Monetary Economics. General ; E5 - Monetary Policy, Central Banking and the Supply of Money and Credit ; C5 - Econometric Modeling
Source:	EconStor

Persistent link: https://www.econbiz.de/10010265580