Gonçalves Mazzeu, Joao HenriqueRuiz Ortega, EstherLopes Moreira Da Veiga, María Helena2022-05-312022-05-312018-04-01Gonçalves Mazzeu, J.H., Ruiz, E., & Veiga, H. (2018).Uncertainty and density forecasts of arma models: comparison os asymptotic, bayesian, and bootstrap procedures. Journal of Economic Surveys, 32 (2), pp. 388–419.0950-0804https://hdl.handle.net/10016/34948The objective of this paper is to analyze the effects of uncertainty on density forecasts of stationary linear univariate ARMA models. We consider three specific sources of uncertainty: parameter estimation, error distribution, and lag order. Depending on the estimation sample size and the forecast horizon, each of these sources may have different effects. We consider asymptotic, Bayesian, and bootstrap procedures proposed to deal with uncertainty and compare their finite sample properties. The results are illustrated constructing fan charts for UK inflation.eng© 2017 John Wiley & Sons Ltd.Bayesian forecastBootstrapFan chartsParameter uncertaintyModel misspecificationresearch articleEstadísticahttps://doi.org/10.1111/joes.12197open access3882419JOURNAL OF ECONOMIC SURVEYS32AR/0000023231