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arXiv · 2210.13562

Prediction intervals for economic fixed-event forecasts

Fabian Krüger·Hendrik Plett
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Abstract

The fixed-event forecasting setup is common in economic policy. It involves a sequence of forecasts of the same (`fixed') predictand, so that the difficulty of the forecasting problem decreases over time. Fixed-event point forecasts are typically published without a quantitative measure of uncertainty. To construct such a measure, we consider forecast postprocessing techniques tailored to the fixed-event case. We develop regression methods that impose constraints motivated by the problem at hand, and use these methods to construct prediction intervals for gross domestic product (GDP) growth in Germany and the US.

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BibTeXRIS

Fabian Krüger, Hendrik Plett. 2022-10-24. Prediction intervals for economic fixed-event forecasts. https://arxiv.org/abs/2210.13562

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