Abstract

Path forecast refers to constructing simultaneous confidence regions of multi-step forecast, which is a reasonable summary of possible path in China economy. In this paper, iteration and direct forecast method is performed to construct the path forecast of output, inflation and interest rate and Monte Carlo simulation is performed. Pseudo out of sample path forecast with scene design of Chinese macroeconomic is also conducted. The results based on Chinese data show that, forecast path built by Scheffé method has a reasonable coverage of the possible path, and it is a reasonable and effective way to forecast uncertainty of Chinese macroeconomic. The pseudo out of sample path forecast shows that a more reasonable and effective path forecast can be drawn with a reasonable scene design.

Key words

Path Forecast; Uncertainty; Situation Design; VAR; Local Projection; GDP; Inflation

        DOI: https://doi.org/10.16381/j.cnki.issn1003-207x.2013.01.015