Staszewska-Bystrova, Anna - In: Journal of Economics and Statistics (Jahrbuecher fuer … 233 (2013) 5-6, pp. 680-690
The formula for the Scheffé prediction bands proposed by Jordà and Marcellino (2010) is reconsidered. It is demonstrated, that in many cases of practical interest, the bands fail to satisfactorily approximate the uncertainty associated with a path-forecast. A modification of the Scheffé...