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The Assessment And Improvement Of The Accuracy For The Forecast Intervals

Author

Listed:
  • Bratu, Mihaela

    (Academy of Economic Studies. Faculty of Cybernetics, Statistics and Economic Informatics.)

Abstract
The objective of this research is to present some accuracy measures associated to forecast intervals, taken into account the fact that in literature some specific accuracy indicators for this type of prediction have not been proposed yet. For the quarterly inflation rate provided by the National Bank of Romania, forecast intervals were built on the horizon 2010-2012. According to the number of intervals that include the real value and to an econometric procedure based on DUMMY variables, the intervals based on historical errors (RMSE- root mean squared errors) are better than those based on BCA bootstrap procedure. However, the new indicator proposed in this paper as a measure of global accuracy, M indicator, the forecast intervals based on BCA bootstraping are more accurate than the intervals based on historical RMSE. Bayesian intervals were constructed for quarterly USA inflation in 2012 using aprioristic information, but the smaller intervals did not imply an increase in the degree of accuracy.

Suggested Citation

  • Bratu, Mihaela, 2013. "The Assessment And Improvement Of The Accuracy For The Forecast Intervals," Working Papers of Macroeconomic Modelling Seminar 132602, Institute for Economic Forecasting.
    • Handle: RePEc:rjr:wpmems:132602
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    File URL: http://www.ipe.ro/RePEc/WorkingPapers/cs26_2.pdf
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    References listed on IDEAS

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    More about this item

    Keywords

    forecast intervals; accuracy; uncertainty; BCA bootstrap intervals; indicator M;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • L6 - Industrial Organization - - Industry Studies: Manufacturing

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