Aastveit, Knut Are; Foroni, Claudia; Ravazzolo, Francesco - Centre for Applied Macro- and Petroleum economics … - 2014
In this paper we derive a general parametric bootstrapping approach to compute density forecasts for various types of … experiments. We find that the results in terms of point and density forecasts are coherent. Moreover, the results do not clearly … better forecasts. Second, in an empirical exercise we evaluate density forecasts for quarterly US output growth, exploiting …