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arXiv · 2002.05384

Long-term prediction intervals of economic time series

Marek Chudy·Sayar Karmakar·Wei Biao Wu
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Abstract

We construct long-term prediction intervals for time-aggregated future values of univariate economic time series. We propose computational adjustments of the existing methods to improve coverage probability under a small sample constraint. A pseudo-out-of-sample evaluation shows that our methods perform at least as well as selected alternative methods based on model-implied Bayesian approaches and bootstrapping. Our most successful method yields prediction intervals for eight macroeconomic indicators over a horizon spanning several decades.

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Marek Chudy, Sayar Karmakar, Wei Biao Wu. 2020-02-13. Long-term prediction intervals of economic time series. https://arxiv.org/abs/2002.05384

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