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- W2978065058 abstract "Since 1996 the Bank of England (BoE) has been publishing estimates of probability distributions of the future outcomes of inflation and output growth. These density forecasts, known as fan charts, became very popular with other central banks (e.g. Riksbank) as a tool to quantify uncertainties and risks of conditional point forecasts. The BoE's procedure is mainly a methodology to determine the distribution of a linear combination of inde- pendent random variables. In this article, we propose an alternative method- ology that addresses two issues with the BoE procedure that may affect the estimation of the densities. The first issue relates to a statistical shortcut taken by the BoE that implicitly considers that the mode of the linear com- bination of random variables is the (same) linear combination of the modes of those variables. The second issue deals with the assumption of indepen- dence, which may be restrictive. An illustration of the new methodology is presented and its results compared with the BoE approach." @default.
- W2978065058 created "2019-10-10" @default.
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- W2978065058 date "2003-01-01" @default.
- W2978065058 modified "2023-09-26" @default.
- W2978065058 title "Uncertainty and Risk Analysis of Macroeconomic Forecasts: Fan Charts" @default.
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