Precision-based sampling for state space models that have no measurement error

Mertens, Elmar

doi:10.1016/j.jedc.2023.104720

Journal of Economic Dynamics and Control

2023

DOI: 10.1016/j.jedc.2023.104720

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Precision-based sampling for state space models that have no measurement error

Elmar Mertens

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2024

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Constructing Fan Charts from the Ragged Edge of SPF Forecasts

Clark,

Ganics,

Mertens

2024

Working Paper (Federal Reserve Bank of Cleveland)

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We develop models that take point forecasts from the Survey of Professional Forecasters (SPF) as inputs and produce estimates of survey-consistent term structures of expectations and uncertainty at arbitrary forecast horizons. Our models combine fixed-horizon and fixed-event forecasts, accommodating time-varying horizons and availability of survey data, as well as potential inefficiencies in survey forecasts. The estimated term structures of SPF-consistent expectations are comparable in quality to the published, widely used short-horizon forecasts. Our estimates of time-varying forecast uncertainty reflect historical variations in realized errors of SPF point forecasts, and generate fan charts with reliable coverage rates.

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Constructing Fan Charts from the Ragged Edge of SPF Forecasts

Clark,

Ganics,

Mertens

2024

Working Paper (Federal Reserve Bank of Cleveland)

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show abstract

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Precision-based sampling for state space models that have no measurement error

Cited by 1 publication

References 42 publications

Constructing Fan Charts from the Ragged Edge of SPF Forecasts

Constructing Fan Charts from the Ragged Edge of SPF Forecasts

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