Home About Latest Browse RSS Advanced Search

Federal Reserve Bank of St. Louis
Working Papers
Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors
Todd E. Clark
Michael W. McCracken
Elmar Mertens
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.


Download Full text
Download https://doi.org/10.20955/wp.2017.026
Cite this item
Todd E. Clark & Michael W. McCracken & Elmar Mertens, Modeling Time-Varying Uncertainty of Multiple-Horizon Forecast Errors, Federal Reserve Bank of St. Louis, Working Papers 2017-26, 28 Aug 2017.
More from this series
JEL Classification:
Subject headings:
Keywords: Stochastic volatility; survey forecasts; prediction
DOI: 10.20955/wp.2017.026
For corrections, contact Anna Oates ()
Fed-in-Print is the central catalog of publications within the Federal Reserve System. It is managed and hosted by the Economic Research Division, Federal Reserve Bank of St. Louis.

Privacy Legal