Jordá, Òscar; Knuppel, Malte; Marcellino, Massimiliano - Federal Reserve Bank of San Francisco - 2012
This paper investigates the problem of constructing prediction regions for forecast trajectories 1 to H periods into the future - a path forecast. We take the more general view that the null model is only approximative and in some cases it may be altogether unavailable. As a consequence, one...