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http://dspace.mediu.edu.my:8181/xmlui/handle/10419/2955| Title: | Macroeconomic interval forecasting : the case of assessing the risk of deflation in Germany |
| Keywords: | E0 E5 C5 ddc:330 model selection forecasting prediction intervals bootstrapping deflation Konjunkturprognose Prognoseverfahren Ökonometrisches Makromodell Deflation Phillips-Kurve Schätzung Deutschland |
| Issue Date: | 16-Oct-2013 |
| Publisher: | Kiel Institute for the World Economy (IfW) Kiel |
| Description: | 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. |
| URI: | http://koha.mediu.edu.my:8181/xmlui/handle/10419/2955 |
| Other Identifiers: | http://hdl.handle.net/10419/2955 ppn:362671850 ppn:362671850 |
| Appears in Collections: | EconStor |
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