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Based on a dynamic heterogeneous panel data model, we find that the persistence in forecast uncertainty is much less than what the aggregate time series data would suggest. In addition, the strong link between past forecast errors and current forecast uncertainty, as often noted in the ARCH literature, is largely lost in a multi\u2010period context with varying forecast horizons. We propose a novel way of estimating \u2018news\u2019 and its variance using the Kullback\u2010Leibler information, and show that the latter is an important determinant of forecast uncertainty. Our evidence suggests a strong relationship of forecast uncertainty with level of inflation, but not with forecaster discord or with the volatility of a number of other macroeconomic indicators. Copyright \u00a9 2006 John Wiley &amp; Sons, Ltd.<\/jats:p>","DOI":"10.1002\/jae.880","type":"journal-article","created":{"date-parts":[[2006,11,7]],"date-time":"2006-11-07T12:16:48Z","timestamp":1162901808000},"page":"1199-1219","source":"Crossref","is-referenced-by-count":41,"title":["Modelling multi\u2010period inflation uncertainty using a panel of density forecasts"],"prefix":"10.1002","volume":"21","author":[{"given":"Kajal","family":"Lahiri","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Fushang","family":"Liu","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2006,11,7]]},"reference":[{"key":"e_1_2_8_2_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-937X.00225"},{"key":"e_1_2_8_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00273"},{"key":"e_1_2_8_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/(SICI)1099-1255(199601)11:1<23::AID-JAE374>3.0.CO;2-M"},{"key":"e_1_2_8_5_1","doi-asserted-by":"publisher","DOI":"10.2307\/1909771"},{"key":"e_1_2_8_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-3932(92)90032-W"},{"key":"e_1_2_8_7_1","doi-asserted-by":"publisher","DOI":"10.2307\/2534528"},{"key":"e_1_2_8_8_1","volume-title":"Econometric Analysis of Panel Data","author":"Baltagi BH","year":"2001"},{"key":"e_1_2_8_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/j.1468-0084.1993.mp55003005.x"},{"key":"e_1_2_8_10_1","doi-asserted-by":"publisher","DOI":"10.1080\/000368496328704"},{"key":"e_1_2_8_11_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(86)90063-1"},{"key":"e_1_2_8_12_1","doi-asserted-by":"publisher","DOI":"10.2307\/2077981"},{"key":"e_1_2_8_13_1","doi-asserted-by":"publisher","DOI":"10.2307\/2297111"},{"key":"e_1_2_8_14_1","doi-asserted-by":"publisher","DOI":"10.2307\/1391370"},{"key":"e_1_2_8_15_1","doi-asserted-by":"publisher","DOI":"10.1162\/00335530360535207"},{"key":"e_1_2_8_16_1","doi-asserted-by":"publisher","DOI":"10.2307\/1912276"},{"key":"e_1_2_8_17_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(01)00072-0"},{"key":"e_1_2_8_18_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(94)01649-K"},{"key":"e_1_2_8_19_1","doi-asserted-by":"publisher","DOI":"10.1017\/CBO9780511493140.011"},{"key":"e_1_2_8_20_1","volume-title":"Cointegration, Causality, and Forecasting: A Festschrift in Honor of Clive W.J. 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