English
Ciência-IUL
Publicações
Descrição Detalhada da Publicação
Uncertainty and density forecasts of arma models: comparison of asymptotic, bayesian, and bootstrap procedures
Título Revista
Journal of Economic Surveys
Ano (publicação definitiva)
2018
Língua
Inglês
País
Estados Unidos da América
Mais Informação
Web of Science®
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Abstract/Resumo
The objective of this paper is to analyze the effects of uncertainty on density forecasts of stationary linear univariate ARMA models. We consider three specific sources of uncertainty: parameter estimation, error distribution, and lag order. Depending on the estimation sample size and the forecast horizon, each of these sources may have different effects. We consider asymptotic, Bayesian, and bootstrap procedures proposed to deal with uncertainty and compare their finite sample properties. The results are illustrated constructing fan charts for UK inflation.
Agradecimentos/Acknowledgements
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Palavras-chave
Bayesian forecast,Bootstrap,Fan charts,Model misspecification,Parameter uncertainty
Classificação Fields of Science and Technology
- Economia e Gestão - Ciências Sociais
Registos de financiamentos
| Referência de financiamento | Entidade Financiadora |
|---|---|
| ECO2015-65701-P | Ministerio de Economía, Industria y Competitividad |
| ECO2015-7033-C2-2-R | Ministerio de Economía, Industria y Competitividad |
