Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors
Abstract: We develop uncertainty measures for point forecasts from surveys such as the Survey of Professional Forecasters, Blue Chip, or the Federal Open Market Committee's Summary of Economic Projections. At a given point of time, these surveys provide forecasts for macroeconomic variables at multiple horizons. To track time-varying uncertainty in the associated forecast errors, we derive a multiple-horizon specification of stochastic volatility. Compared to constant-variance approaches, our stochastic-volatility model improves the accuracy of uncertainty measures for survey forecasts.
Status: Published in Review of Economics and Statistics
File format is application/pdf
Description: Full text
Provider: Federal Reserve Bank of St. Louis
Part of Series: Working Papers
Publication Date: 2017-08-28