A path forecast refers to the sequence of forecasts 1 to H periods into the future. A summary of the range of possible paths the predicted variable may follow for a given confidence level requires construction of simultaneous confidence regions that adjust for any covariance between the elements...

The linear pool is the most popular method for combining density forecasts. We analyze its implications concerning forecast uncertainty, using a new framework that focuses on the means and variances of the individual and combined forecasts. Our results show that, if the variance predictions of...

We develop tests for the null hypothesis that forecasts become uninformative beyond some maximum forecast horizon h∗. The forecast may result from a survey of forecasters or from an estimated parametric model. The first class of tests compares the mean-squared prediction error of the forecast...