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A Companion to Economic Forecasting
A density forecast of the realization of a random variable at some future time is an estimate of the probability distribution of the possible future values of that variable. This article presents a selective survey of applications of density forecasting in macroeconomics and finance, and discusses some issues concerning the production, presentation and evaluation of density forecasts. 1 The helpful comments and suggestions of Frank Diebold, Stewart Hodges and two anonymous referees aredoi:10.1002/9780470996430.ch3 fatcat:ve7s5v5jnnbfrk4cjadycizf4m