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. 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.
Acknowledgments
We thank two anonymous reviewers, Andreas Eberl, Tilmann Gneiting, Malte Knüppel as well as participants of the MathSEE symposium (Karlsruhe, September 2023) and seminar participants at the Universities of Amsterdam and Freiburg for helpful comments. We further thank Alexander Henzi for sharing program code associated with Henzi (2023), and Eben Lazarus for sharing code related to Lazarus et al. (2018). We acknowledge support by the state of Baden-Württemberg through bwHPC.
Citation
Fabian Krüger. Hendrik Plett. "Prediction intervals for economic fixed-event forecasts." Ann. Appl. Stat. 18 (3) 2635 - 2655, September 2024. https://doi.org/10.1214/24-AOAS1900
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