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Table 3.
Forecast Error Coverage rates: 1 Standard Deviation Bands, VAR-SV Specification
Forecast Horizon
Variable01234Beginning of the Evaluation
A. VAR-SV 
RGDP 74.26 73.33 76.12* 72.93 77.27* 1983:Q4 
UNRATE 66.42 76.47* 75.56 74.63 72.18 1983:Q4 
PGDP 73.53 74.07 79.85*** 77.44** 79.55*** 1983:Q4 
CPI 67.44 72.94 67.86 71.08 78.05*** 1996:Q3 
TBILL 69.77 81.18** 75.00 65.06 65.85 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. VAR-SV 
RGDP 74.26 73.33 76.12* 72.93 77.27* 1983:Q4 
UNRATE 66.42 76.47* 75.56 74.63 72.18 1983:Q4 
PGDP 73.53 74.07 79.85*** 77.44** 79.55*** 1983:Q4 
CPI 67.44 72.94 67.86 71.08 78.05*** 1996:Q3 
TBILL 69.77 81.18** 75.00 65.06 65.85 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 VAR-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.

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