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dc.contributor.authorJORDÀ, Òscar
dc.contributor.authorKNÜPPEL, Malte
dc.contributor.authorMARCELLINO, Massimiliano
dc.date.accessioned2010-04-19T15:03:19Z
dc.date.available2010-04-19T15:03:19Z
dc.date.issued2010
dc.identifier.issn1725-6704
dc.identifier.urihttp://hdl.handle.net/1814/13739
dc.description.abstractMeasuring and displaying uncertainty around path-forecasts, i.e. forecasts made in period T about the expected trajectory of a random variable in periods T+1 to T+H is a key ingredient for decision making under uncertainty. The probabilistic assessment about the set of possible trajectories that the variable may follow over time is summarized by the simultaneous confidence region generated from its forecast generating distribution. However, if the null model is only approximative or altogether unavailable, one cannot derive analytic expressions for this confidence region, and its non-parametric estimation is impractical given commonly available predictive sample sizes. Instead, this paper derives the approximate rectangular confidence regions that control false discovery rate error, which are a function of the predictive sample covariance matrix and the empirical distribution of the Mahalanobis distance of the path-forecast errors. These rectangular regions are simple to construct and appear to work well in a variety of cases explored empirically and by simulation. The proposed techniques are applied to provide con.dence bands around the Fed and Bank of England real-time path-forecasts of growth and inflation.en
dc.format.mimetypeapplication/pdf
dc.language.isoenen
dc.relation.ispartofseriesEUI ECOen
dc.relation.ispartofseries2010/18en
dc.rightsinfo:eu-repo/semantics/openAccess
dc.subjectpath forecasten
dc.subjectforecast uncertaintyen
dc.subjectsimultaneous confidence regionen
dc.subjectScheffé’s S-methoden
dc.subjectMahalanobis distanceen
dc.subjectfalse discovery rateen
dc.subjectC32en
dc.subjectC52en
dc.subjectC53en
dc.titleEmpirical Simultaneous Confidence Regions for Path-Forecastsen
dc.typeWorking Paperen
dc.neeo.contributorJORDÀ|Òscar|aut|
dc.neeo.contributorKNÜPPEL|Malte|aut|
dc.neeo.contributorMARCELLINO|Massimiliano|aut|EUI70008
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