Salisu, Afees A.Gupta, RanganOgbonna, Ahamuefula E.2022-07-012022-07-012021-07Salisu, A.A., Gupta, R. & Ogbonna, A.E. 2021, 'Point and density forecasting of macroeconomic and financial uncertainties of the USA', Journal of Forecasting, vol. 40, no. 4, pp. 700-707, doi : 10.1002/for.2740.0277-6693 (print)1099-131X (online)10.1002/for.2740https://repository.up.ac.za/handle/2263/86022We forecast macroeconomic and financial uncertainties of the USA over the period of 1960:Q3 to 2018:Q4, based on a large dataset of 303 predictors using a wide array of constant-parameter and time-varying models. We find that uncertainty is indeed forecastable, but while accurate point forecasts can be achieved without incorporating time variation in the parameters of the small-scale models for macroeconomic uncertainty and large-scale models for financial uncertainty, this is indeed a requirement, along with a large dataset, for producing precise density forecasts under both types of uncertainty.en© 2020 John Wiley & Sons, Ltd. This is the submitted version of the following article : 'Point and density forecasting of macroeconomic and financial uncertainties of the USA', Journal of Forecasting, vol. 40, no. 4, pp. 700-707, 2021, doi : 10.1002/for.2740 The definite version is available at : http://wileyonlinelibrary.com/journal/for.Constant-parameter and time-varying modelsForecastingLarge number of predictorsMacroeconomic uncertaintyFinancial uncertaintyPreprint Article