From fixed-event to fixed-horizon density forecasts: Obtaining measures of multi-horizon uncertainty from survey density forecasts

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• dc.contributor.author Ganics, Gergely
• dc.contributor.author Rossi, Barbara, 1971-
• dc.contributor.author Sekhposyan, Tatevik
• dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa
• dc.date.accessioned 2020-05-25T09:26:55Z
• dc.date.available 2020-05-25T09:26:55Z
• dc.date.issued 2019-12-01
• dc.date.modified 2020-05-25T09:26:16Z
• dc.description.abstract Surveys of professional forecasters produce precise and timely point forecasts for key macroeconomic variables. However, the accompanying density forecasts are not as widely utilized, and there is no consensus about their quality. This is partly because such surveys are often conducted for fixed events . For example, in each quarter panelists are asked to forecast output growth and inflation for the current calendar year and the next, implying that the forecast horizon changes with each survey round. The fixed-event nature limits the usefulness of survey density predictions for policymakers and market participants, who often wish to characterize uncertainty a fixed number of periods ahead ( fixed-horizon ). Is it possible to obtain fixed-horizon density forecasts using the available fixed-event ones? We propose a density combination approach that weights fixed-event density forecasts according to a uniformity of the probability integral transform criterion, aiming at obtaining a correctly calibrated fixed-horizon density forecast. Using data from the US Survey of Professional Forecasters, we show that our combination method produces competitive density forecasts relative to widely used alternatives based on historical forecast errors or Bayesian VARs. Thus, our proposed fixed-horizon predictive densities are a new and useful tool for researchers and policy makers.
• dc.format.mimetype application/pdf*
• dc.identifier https://econ-papers.upf.edu/ca/paper.php?id=1689
• dc.identifier.citation
• dc.identifier.uri http://hdl.handle.net/10230/44723
• dc.language.iso eng
• dc.relation.ispartofseries Economics and Business Working Papers Series; 1689
• dc.rights L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
• dc.rights.accessRights info:eu-repo/semantics/openAccess
• dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
• dc.subject.keyword survey of professional forecasters
• dc.subject.keyword density forecasts
• dc.subject.keyword forecast combination
• dc.subject.keyword predictive density
• dc.subject.keyword probability integral transform
• dc.subject.keyword uncertainty
• dc.subject.keyword real-time.
• dc.subject.keyword Statistics, Econometrics and Quantitative Methods
• dc.title From fixed-event to fixed-horizon density forecasts: Obtaining measures of multi-horizon uncertainty from survey density forecasts
• dc.title.alternative
• dc.type info:eu-repo/semantics/workingPaper