Year: 2015
Type: article
Abstract: Model-based estimates of future uncertainty are generally based on the in-sample fit of the model, as when Box–Jenkins prediction intervals are calculated. However, this approach will generate biased uncertainty estimates in real time when there are data revisions. A simple remedy is suggested, and used to generate more accurate prediction intervals for 25 macroeconomic variables, in line with the theory. A simulation study based on an empirically estimated model of data revisions for U.S. output growth is used to investigate small-sample properties.
Author: Michael P. Clements
Institutions: ICMA Centre, University of Reading
Language: English
Field: Decision Sciences
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W132792195