The HPD Fan ChartT With Data Revision

Julio, Juan Manuel (2009): The HPD Fan ChartT With Data Revision.

Abstract

The current implementation of the Fan Chart displays equal tail probability bands and do not take into account that the variable of interest may be subject to data revision. In this note I propose the use of Highest Probability Density, HPD, bands and include flexibility to display the risks related to data revision. Click here to obtain a Visual Basic for Excel routine. Please save the the as FanChartGdpGrowth.xls and enable Macros to run the program.

• Item Type: MPRA Paper
• Language: English
• Keywords: Fan Chart, Forecasting Distribution, HPD
• Subjects: E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E31 - Price Level ; Inflation ; Deflation; E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E59 - Other; E - Macroeconomics and Monetary Economics > E3 - Prices, Business Fluctuations, and Cycles > E37 - Forecasting and Simulation: Models and Applications

References

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E. Britton, P. Fisher, and J. Whitley, The Inflation Report Projections: Understanding theFan Chart, Bank of England Quarterly Bulletin, 1998, February 1998.

G. Casella and R. Berger, Statistical inference, second ed., Duxbury, Pacific Grove, CA, 2002.

J. Julio, Implementaciion, uso e interpretacion del Fan Chart, Revista Colombiana de Estadistica, 29 (2006), no. 1, 109{131.

J. Julio, The fan chart: The technical details of the new implementation, Borradores Semanales de Economia (2007), no. 468