We use past forecast errors to construct confidence intervals and other estimates of uncertainty around the Reserve … Bank of Australia's forecasts of key macroeconomic variables. Our estimates suggest that uncertainty about forecasts is …

Recently, several institutions have increased their forecast horizons, and many institutions rely on their past … forecast errors to estimate measures of forecast uncertainty. This work addresses the question how the latter estimation can be … accomplished if there are only very few errors available for the new forecast horizons. It extends upon the results of Knüppel …