Marek Chudý
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View article: Long‐term prediction intervals with many covariates
Long‐term prediction intervals with many covariates Open
Accurate forecasting is one of the fundamental focuses in the literature of econometric time‐series. Often practitioners and policymakers want to predict outcomes of an entire time horizon in the future instead of just a single k ‐step ahe…
View article: Long-term prediction intervals of economic time series
Long-term prediction intervals of economic time series Open
We construct long-term prediction intervals for time-aggregated future values of univariate economic time series. We propose computational adjustments of the existing methods to improve coverage probability under a small sample constraint.…
View article: Macroeconomic Forecasting with Factor-Augmented Adjusted Band Regression
Macroeconomic Forecasting with Factor-Augmented Adjusted Band Regression Open
Previous findings indicate that the inclusion of dynamic factors obtained from a large set of predictors can improve macroeconomic forecasts. In this paper, we explore three possible further developments: (i) using automatic criteria for c…
View article: Long-term prediction intervals of economic time series
Long-term prediction intervals of economic time series Open