Prediction Intervals for Economic Fixed-Event Forecasts
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SeriesEconometrics Seminars and Workshop Series
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Speaker(s)Fabian Krüger (Karlsruhe Institute of Technology, Germany)
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FieldEconometrics, Data Science and Econometrics
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LocationUniversity of Amsterdam, Room E5.22
Amsterdam -
Date and time
October 20, 2023
12:30 - 13:30
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.
For example, forecasting the annual inflation rate for 2022 was a very
difficult task in January 2021, but a rather easy task in November 2022.
In practice, 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 propose parametric and nonparametric regression methods
that are motivated by the problem at hand, and use these methods
to construct prediction intervals for economic growth and inflation in
Germany and the US. Joint paper with Hendrik Plett.