Incorporating Asymmetric Preferences into Fan Charts and Path Forecasts

B-Tier
Journal: Oxford Bulletin of Economics and Statistics
Year: 2014
Volume: 76
Issue: 2
Pages: 287-297

Authors (2)

Matei Demetrescu (not in RePEc) Mu-Chun Wang (Deutsche Bundesbank)

Score contribution per author:

1.005 = (α=2.01 / 2 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

type="main" xml:lang="en"> <title type="main">Abstract</title> <p>Ordinary fan charts consist of symmetric marginal forecast intervals, and do not take into consideration the concrete loss function of the user of the forecast. The note shows how to build fan charts that have exact joint coverage even under asymmetric loss, and maintain at the same time the intuition conveyed by ordinary fan charts. The proposed method is computationally simple, and easily implemented with any loss function. The differences between the information conveyed by fan charts with or without asymmetries, and with or without exact joint coverage, are illustrated with a Bayesian forecast exercise of US GDP growth rates.

Technical Details

RePEc Handle
repec:bla:obuest:v:76:y:2014:i:2:p:287-297
Journal Field
General
Author Count
2
Added to Database
2026-01-25