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Long-term prediction intervals of economic time series

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Document pages: 32 pages

Abstract: We construct long-term prediction intervals for time-aggregated future valuesof univariate economic time series. We propose computational adjustments of theexisting methods to improve coverage probability under a small sampleconstraint. A pseudo-out-of-sample evaluation shows that our methods perform atleast as well as selected alternative methods based on model-implied Bayesianapproaches and bootstrapping. Our most successful method yields predictionintervals for eight macroeconomic indicators over a horizon spanning severaldecades.

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