• Graduate Program
    • Why study Business Data Science?
    • Research Master
    • Admissions
    • Course Registration
    • Facilities
  • Summer School
  • Research
  • News
  • Events
    • Events Calendar
    • Events archive
    • Tinbergen Institute Lectures
    • Summer School
      • Deep Learning
      • Economics of Blockchain and Digital Currencies
      • Foundations of Machine Learning with Applications in Python
      • Machine Learning for Business
      • Marketing Research with Purpose
      • Sustainable Finance
      • Tuition Fees and Payment
      • Tinbergen Institute Summer School Program
    • Annual Tinbergen Institute Conference archive
  • Alumni
  • Magazine
Home | Events Archive | Prediction Intervals for Economic Fixed-Event Forecasts
Seminar

Prediction Intervals for Economic Fixed-Event Forecasts

  • Location
    University of Amsterdam, Room E5.22
    Amsterdam
  • Date and time

    October 20, 2023
    12:30 - 13:30

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. For example, forecasting the annual inflation rate for 2022 was a very difficult task in January 2021, but a rather easy task in November 2022. In practice, 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 propose parametric and nonparametric regression methods that are motivated by the problem at hand, and use these methods to construct prediction intervals for economic growth and inflation in Germany and the US. Joint paper with Hendrik Plett.