论文标题
经济时间序列的长期预测间隔
Long-term prediction intervals of economic time series
论文作者
论文摘要
我们为单变量经济时间序列的时间聚集的未来价值构建长期预测间隔。我们提出了对现有方法的计算调整，以提高较小样本约束下的覆盖范围概率。伪出样本评估表明，我们的方法至少以及基于模型的贝叶斯方法和自举方法的选定替代方法。我们最成功的方法在跨越几十年的地平线上产生了八个宏观经济指标的预测间隔。
We construct long-term prediction intervals for time-aggregated future values of univariate economic time series. We propose computational adjustments of the existing methods to improve coverage probability under a small sample constraint. A pseudo-out-of-sample evaluation shows that our methods perform at least as well as selected alternative methods based on model-implied Bayesian approaches and bootstrapping. Our most successful method yields prediction intervals for eight macroeconomic indicators over a horizon spanning several decades.
