The Resource Non-Parametric Stochastic Simulations to Investigate Uncertainty around the OECD Indicator Model Forecasts, Elena Rusticelli, (electronic resource)

Non-Parametric Stochastic Simulations to Investigate Uncertainty around the OECD Indicator Model Forecasts, Elena Rusticelli, (electronic resource)

Label
Non-Parametric Stochastic Simulations to Investigate Uncertainty around the OECD Indicator Model Forecasts
Title
Non-Parametric Stochastic Simulations to Investigate Uncertainty around the OECD Indicator Model Forecasts
Statement of responsibility
Elena Rusticelli
Creator
Subject
Language
eng
Summary
The forecasting uncertainty around point macroeconomic forecasts is usually measured by the historical performance of the forecasting model, using measures such as root mean squared forecasting errors (RMSE). This measure, however, has the major drawback that it is constant over time and hence does not convey any information on the specific source of uncertainty nor the magnitude and balance of risks in the immediate conjuncture. Moreover, specific parametric assumptions on the probability distribution of forecasting errors are needed in order to draw confidence bands around point forecasts. This paper proposes an alternative time-varying simulated RMSE, obtained by means of non-parametric stochastic simulations, which combines the uncertainty around the model's parameters and the structural errors term to construct asymmetric confidence bands around point forecasts. The procedure is applied, by way of example, to the short-term real GDP growth forecasts generated by the OECD Indicator Model for Germany. The empirical probability distributions of the GDP growth forecasts, derived through the bootstrapping technique, allow the ex ante probability of, for example, a negative GDP growth forecast for the current quarter to be estimated. The results suggest the presence of peaks of higher uncertainty related to economic recession events, with a balance of risks which became negative in the immediate aftermath of the global financial crisis
Member of
Cataloging source
FR-PaOEC
http://library.link/vocab/creatorName
Rusticelli, Elena
Government publication
international or intergovernmental publication
Index
no index present
Literary form
non fiction
Nature of contents
dictionaries
Series statement
OECD Economics Department Working Papers,
Series volume
no.979
http://library.link/vocab/subjectName
Economics
Label
Non-Parametric Stochastic Simulations to Investigate Uncertainty around the OECD Indicator Model Forecasts, Elena Rusticelli, (electronic resource)
Instantiates
Publication
Antecedent source
not applicable
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Control code
809910539
Dimensions
21 x 30 cm
Extent
1 online resource 33 pages
File format
one file format
Form of item
online
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1787/5k94kq50b2jd-en
Specific material designation
remote
System control number
(OCoLC)809910539
Label
Non-Parametric Stochastic Simulations to Investigate Uncertainty around the OECD Indicator Model Forecasts, Elena Rusticelli, (electronic resource)
Publication
Antecedent source
not applicable
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Control code
809910539
Dimensions
21 x 30 cm
Extent
1 online resource 33 pages
File format
one file format
Form of item
online
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
10.1787/5k94kq50b2jd-en
Specific material designation
remote
System control number
(OCoLC)809910539

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