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Forecasted variables figures (mean and point)
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Forecasted variables figures (mean and point)
by scholar_26 » Wed May 08, 2013 2:39 pm
Could you please explain how to interpret figures of forecasted variables?
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Re: Forecasted variables figures (mean and point)
by jpfeifer » Wed May 08, 2013 4:42 pm
From an internal documentation to be published soon:
Forecasted variables (mean):
Mean forecast plot generated by the forecast- option of the estimation-command. It is stored in the Output-subfolder. The black line depicts the mean forecasts for the endogenous variables, starting at the last observation of the sample and going as many steps into the future as specified in the forecast-option. The green lines again depict the mean forecast deciles. The mean forecasts only take the parameter uncertainty into account, but omit the uncertainty about future shocks. Future shocks are averaged out/set to 0.
Forecasted variables (point):
Point forecast plot generated by the forecast-option of the estimation-command. It is stored in the Output-subfolder. The black line depicts the point forecasts for the endogenous variables, starting at the last observation of the sample and going as many steps into the future as specified in the forecast-option. The green lines again depict the point forecast deciles. In contrast to the mean forecasts, the points forecast not only take the parameter uncertainty into account, but also take into consideration the uncertainty about future shocks.
Forecasted variables (mean):
Mean forecast plot generated by the forecast- option of the estimation-command. It is stored in the Output-subfolder. The black line depicts the mean forecasts for the endogenous variables, starting at the last observation of the sample and going as many steps into the future as specified in the forecast-option. The green lines again depict the mean forecast deciles. The mean forecasts only take the parameter uncertainty into account, but omit the uncertainty about future shocks. Future shocks are averaged out/set to 0.
Forecasted variables (point):
Point forecast plot generated by the forecast-option of the estimation-command. It is stored in the Output-subfolder. The black line depicts the point forecasts for the endogenous variables, starting at the last observation of the sample and going as many steps into the future as specified in the forecast-option. The green lines again depict the point forecast deciles. In contrast to the mean forecasts, the points forecast not only take the parameter uncertainty into account, but also take into consideration the uncertainty about future shocks.
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Re: Forecasted variables figures (mean and point)
by jpfeifer » Fri Aug 29, 2014 9:37 pm
Update: The documentation is now available as Pfeifer (2014): An Introduction to Graphs in Dynare at https://sites.google.com/site/pfeiferecon/dynare
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