Interval Forecast and/or Density Forecast Code

[liuyucatherine]

Dear Tom,

Is there any available code for generating interval forecast or density forecast with RATS?

All of the following three papers talked about interval and density forecasts. But none of them has provided RATS code for their precedure.

 David E. Rapach and Mark E. Wohar 2006. The out of sample forecasting performance of nonlinear models of real exchange rate behavior. International Journal of Forecasting 22, 341-361.
 Siliverstovs, B., & van Dijk, D. (2003). Forecasting industrial production with linear, nonlinear, and structural change models. Econometric Institute Report EI 2003-16.
 Wallis, K. (2003). Chi-squared tests of interval and density forecasts, and the Bank of EnglandTs fan charts. International
Journal of Forecasting, 19, 165– 175.

I will appreciate any relevant information you provide. Thank you very much!

Catherine Liu

[IRJ]

I thought of nudging this thread up a little (there is at least one more request for demonstrating how to obtain density forecasts on the forum). It would be great if we can have any RATS code demonstrating how to produce density forecasts and evaluate them. A very good, useful and comprehensive paper that uses a normal approximation to generate density forecasts (and shows how to obtain the PITS and apply tests on the PITS) is:

Tatevik Sekhposyan and Barbara Rossi (2013). "Evaluating Predictive Densities of U.S. Output Growth and Inflation in a Large Macroeconomic Data Set", International Journal of Forecasting 30(3), 2014, 662-682.

I am attaching the authors' data. Any help would be much appreciated.