Empirical Simultaneous Prediction Regions for Path-Forecasts


Malte Knuppel

Massimiliano Marcellino

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2012-05 | May 1, 2012

This paper investigates the problem of constructing prediction regions for forecast trajectories 1 to H periods into the future––a path forecast. We take the more general view that the null model is only approximative and in some cases it may be altogether unavailable. As a consequence, one cannot derive the usual analytic expressions nor resample from the null model as is usually done when bootstrap methods are used. The paper derives methods to construct approximate rectangular regions for simultaneous probability coverage which correct for serial correlation. The techniques appear to work well in simulations and in an application to the Greenbook path forecasts of growth and inflation.

Article Citation

Knuppel, Malte, Massimiliano Marcellino, and Oscar Jorda. 2012. “Empirical Simultaneous Prediction Regions for Path-Forecasts,” Federal Reserve Bank of San Francisco Working Paper 2012-05. Available at https://doi.org/10.24148/wp2012-05

About the Author
Òscar Jordà
Òscar Jordà is a senior policy advisor in the Economic Research Department of the Federal Reserve Bank of San Francisco. Learn more about Òscar Jordà