PREDICTION INTERVALS FOR ECONOMIC FIXED-EVENT FORECASTS

• 成果类型: Article
• 署名作者: Krueger, Fabian; Plett, Hendrik
• 署名单位: Helmholtz Association; Karlsruhe Institute of Technology; Swiss Federal Institutes of Technology Domain; ETH Zurich
• 刊物名称: ANNALS OF APPLIED STATISTICS
• ISSN/ISSBN: 1932-6157
• DOI: 10.1214/24-AOAS1900
• 发表日期: 2024
• 页码: 2635-2655
• 关键词: SCORING RULES; uncertainty; inflation

摘要

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 U.S.