Long-term prediction intervals of economic time series

Marek Chudy, Sayar Karmakar, Wei Biao Wu

arXiv 13 Feb 2020 · Econometrics · publishedIEEE Transactions on Information Theory (2010) · 26 citations (OpenAlex)

arXiv:2002.05384 · PDF · DOI · OpenAlex

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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1	GARCHX-NoVaS: A Model-free Approach to Incorporate Exogenous Variables	0.405	1	1