From Fixed‐Event to Fixed‐Horizon Density Forecasts: Obtaining Measures of Multihorizon Uncertainty from Survey Density Forecasts
针对美国专业预测者调查中固定事件密度预测的局限性，提出一种密度组合方法，将其转化为固定区间密度预测，为政策制定者和研究者提供更实用的多区间不确定性度量。
Abstract The U.S. Survey of Professional Forecasters produces precise and timely point forecasts for key macro‐economic variables. However, the accompanying density forecasts are mostly conducted for “fixed events.” For example, in each quarter, panelists predict output growth and inflation for the current calendar year and the next, hence the forecast horizon changes with each survey round. This limits the forecasts' usefulness to policymakers, researchers, and market participants. We propose a density combination approach that weights fixed‐event density forecasts, aiming at obtaining a correctly calibrated fixed‐horizon density forecast. We show that our method produces competitive density forecasts relative to widely used alternatives.