کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5106318 1481430 2018 12 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Forecast-error-based estimation of forecast uncertainty when the horizon is increased
ترجمه فارسی عنوان
برآورد پیش بینی بر اساس عدم قطعیت پیش بینی زمانی که افق افزایش می یابد
کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری کسب و کار و مدیریت بین المللی
چکیده انگلیسی
Past forecast errors are employed frequently in the estimation of the unconditional forecast uncertainty, and several institutions have increased their forecast horizons in recent times. This work addresses the question of how forecast-error-based estimation can be performed if there are very few errors available for the new forecast horizons. It extends the results of Knüppel (2014) in order to relax the condition on the data structure that is required for the SUR estimator to be independent of unknown quantities. It turns out that the SUR estimator of the forecast uncertainty, which estimates the forecast uncertainty for all horizons jointly, tends to deliver large efficiency gains relative to the OLS estimator (i.e., the sample mean of the squared forecast errors for each individual horizon) in the case of increased forecast horizons. The SUR estimator is applied to the forecast errors of the Bank of England, the US Survey of Professional Forecasters, and the FOMC.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Journal of Forecasting - Volume 34, Issue 1, January–March 2018, Pages 105-116
نویسندگان
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