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Accepted in REStat: Time-varying fan charts around survey forecasts

posted Feb 27, 2019, 5:10 AM by Elmar Mertens

Forthcoming in the Review of Economics and Statistics , with Todd Clark (FRB Cleveland) and Michael McCracken (FRB St. Louis):

We estimate uncertainty measures for point forecasts obtained from survey data, pooling information embedded in observed forecast errors for different forecast horizons. To track time-varying uncertainty in the associated forecast errors, we derive a multiple-horizon specification of stochastic volatility. We apply our method to forecasts for various macroeconomic variables from the Survey of Professional Forecasters. Compared to simple variance approaches, our stochastic volatility model improves the accuracy of uncertainty measures for survey forecasts.

This is joint work with Todd Clark (FRB Cleveland) and Michael McCracken (FRB St. Louis)

Here is a link to our earlier draft (Sep 2018): pdf 
And slides for a talk: pdf