Modelling multi‐period inflation uncertainty using a panel of density forecasts
利用专业预测者调查的密度预测面板数据，发现预测不确定性的持续性远低于总体时间序列数据所示，且过去预测误差与当前不确定性的强关联在多期背景下基本消失，并提出了基于Kullback-Leibler信息估计新闻及其方差的新方法。
Abstract This paper examines the determinants of inflation forecast uncertainty using a panel of density forecasts from the Survey of Professional Forecasters (SPF). Based on a dynamic heterogeneous panel data model, we find that the persistence in forecast uncertainty is much less than what the aggregate time series data would suggest. In addition, the strong link between past forecast errors and current forecast uncertainty, as often noted in the ARCH literature, is largely lost in a multi‐period context with varying forecast horizons. We propose a novel way of estimating ‘news’ and its variance using the Kullback‐Leibler information, and show that the latter is an important determinant of forecast uncertainty. Our evidence suggests a strong relationship of forecast uncertainty with level of inflation, but not with forecaster discord or with the volatility of a number of other macroeconomic indicators. Copyright © 2006 John Wiley & Sons, Ltd.