A brief survey of density forecasting in macroeconomics

• Main Author: TAY, Anthony S.
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2015
• Subjects: Macroeconomics; economic growth; economic forecasting; density forecasting
• Online Access: https://ink.library.smu.edu.sg/soe_research/1901; http://www.mas.gov.sg/Monetary-Policy-and-Economics/Education-and-Research/Research/Economics-Essays-MR-special-features/2015/A-Brief-Survey-Of-Density-Forecasting-In-Macroeconomics.aspx
• Institution: Singapore Management University

A density forecast of an economic variable is an estimate of the conditional probability density function (p.d.f.) of the possible future values of that variable. For example, a density forecaster might say something like “based on current information, GDP growth over the next year is expected to be...