Skip to Main Content
Table 1.
Forecast Error Coverage Rates: 1 Standard Deviation Bands
Forecast Horizon
Variable01234Beginning of the Evaluation
A. SV 
RGDP 72.06 69.63 73.13 68.42 75.76* 1983:Q4 
UNRATE 70.80 70.59 65.93 61.19 62.41 1983:Q4 
PGDP 73.53 71.11 71.64 70.68 71.97 1983:Q4 
CPI 72.09 70.59 65.48 68.67 68.29 1996:Q3 
TBILL 76.74* 77.65* 70.24 63.86 50.00** 1996:Q3 
B. FE-SIMPLE 
RGDP 77.94*** 78.52** 77.61* 78.95* 79.55** 1983:Q4 
UNRATE 72.99 82.35*** 85.19*** 87.31*** 86.47*** 1983:Q4 
PGDP 75.00* 77.04** 77.61** 78.20** 79.55*** 1983:Q4 
CPI 72.09 64.71 69.05 67.47 71.95 1996:Q3 
TBILL 79.07* 88.24*** 84.52** 80.72 79.27 1996:Q3 
Forecast Horizon
Variable01234Beginning of the Evaluation
A. SV 
RGDP 72.06 69.63 73.13 68.42 75.76* 1983:Q4 
UNRATE 70.80 70.59 65.93 61.19 62.41 1983:Q4 
PGDP 73.53 71.11 71.64 70.68 71.97 1983:Q4 
CPI 72.09 70.59 65.48 68.67 68.29 1996:Q3 
TBILL 76.74* 77.65* 70.24 63.86 50.00** 1996:Q3 
B. FE-SIMPLE 
RGDP 77.94*** 78.52** 77.61* 78.95* 79.55** 1983:Q4 
UNRATE 72.99 82.35*** 85.19*** 87.31*** 86.47*** 1983:Q4 
PGDP 75.00* 77.04** 77.61** 78.20** 79.55*** 1983:Q4 
CPI 72.09 64.71 69.05 67.47 71.95 1996:Q3 
TBILL 79.07* 88.24*** 84.52** 80.72 79.27 1996:Q3 

The table reports the empirical out-of-sample coverage rates of 1 standard deviation bands. The sample uses predictions made from the date given in the right-most column through 2017:Q4 (and realized forecast errors as far as available). The upper panel provides results based on our proposed multihorizon SV model. The lower panel provides results based on the FE-SIMPLE model estimated over rolling windows with sixty quarterly observations. Statistically significant departures from a nominal coverage of 68% (as predicted under a normal distribution) are indicated by *, **, or ***, corresponding to 10%, 5%, and 1% significance, respectively.

Close Modal

or Create an Account

Close Modal
Close Modal