Prediction intervals for economic fixed-event forecasts
The Annals of Applied Statistics · 2024 · Volume 18 · Issue 3
Abstract
The fixed-event forecasting setup is common in economic policy. It involves a sequence of forecasts of the same (“fixed”) predictand so that the difficulty of the forecasting problem decreases over time. Fixed-event point forecasts are typically published without a quantitative measure of uncertainty. To construct such a measure, we consider forecast postprocessing techniques tailored to the fixed-event case. We develop regression methods that impose constraints motivated by the problem at hand and use these methods to construct prediction intervals for gross domestic product (GDP) growth in Germany and the U.S.
Keywords
Economic forecasting, prediction intervals
Enable JavaScript for citation tools and additional paper interactions.