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REVISED: Paper on Time-varying Uncertainty in Survey Forecasts (w/Todd Clark and Michael McCracken)

posted Oct 13, 2016, 9:02 AM by Elmar Mertens   [ updated Jun 11, 2018, 8:30 AM ]

We develop uncertainty measures for point forecasts from surveys such as the Survey of Professional Forecasters, Blue Chip, or the Federal Open Market Committee’s Summary of Economic Projections. At a given point of time, these surveys typically provide forecasts for macroeconomic variables at multiple horizons. To track time-varying uncertainty in the associated forecast errors, we derive a multiple-horizon specification of stochastic volatility. Compared to existing constant-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 current draft (May 2018): pdf 
And slides for a talk: pdf