Research Discussion Paper – RDP 2012-07 Estimates of Uncertainty around the RBA's Forecasts

Contents

• Introduction
• Data
• Estimates of Forecast Uncertainty
• How Do These Estimates Compare?
• Other Properties of the Confidence Intervals
• Alternatives and Limitations
• Conclusion
• Appendix A: Measures of Uncertainty Presented by Foreign Central Banks
• Appendix B: Data
• Appendix C: Percentiles of Forecast Errors
• Appendix D: Comparisons with Errors from Null Alternatives
• References

The Discussion Paper series is intended to make the results of the current economic research within the Reserve Bank available to other economists. Its aim is to present preliminary results of research so as to encourage discussion and comment. Views expressed in this paper are those of the authors and not necessarily those of the Reserve Bank. Use of any results from this paper should clearly attribute the work to the authors and not to the Reserve Bank of Australia.

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We are grateful to many RBA colleagues for guidance on forecasting procedures and databases, in particular Christie Lewis, Patrick D'Arcy and Anna Park. We received helpful comments from Alex Heath, Jonathan Kearns, Christopher Kent, Mariano Kulish, Philip Lowe, David Norman, Adrian Pagan, Mick Plumb, Penny Smith and Tony Richards.