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来源类型 | Working Paper |
规范类型 | 报告 |
DOI | 10.3386/w18870 |
来源ID | Working Paper 18870 |
Measuring Uncertainty about Long-Run Prediction | |
Ulrich Mueller; Mark W. Watson | |
发表日期 | 2013-03-08 |
出版年 | 2013 |
语种 | 英语 |
摘要 | Long-run forecasts of economic variables play an important role in policy, planning, and portfolio decisions. We consider long-horizon forecasts of average growth of a scalar variable, assuming that first differences are second-order stationary. The main contribution is the construction of predictive sets with asymptotic coverage over a wide range of data generating processes, allowing for stochastically trending mean growth, slow mean reversion and other types of long-run dependencies. We illustrate the method by computing predictive sets for 10 to 75 year average growth rates of U.S. real per-capita GDP, consumption, productivity, price level, stock prices and population. |
主题 | Econometrics ; Estimation Methods ; Macroeconomics ; Macroeconomic Models |
URL | https://www.nber.org/papers/w18870 |
来源智库 | National Bureau of Economic Research (United States) |
引用统计 | |
资源类型 | 智库出版物 |
条目标识符 | http://119.78.100.153/handle/2XGU8XDN/576545 |
推荐引用方式 GB/T 7714 | Ulrich Mueller,Mark W. Watson. Measuring Uncertainty about Long-Run Prediction. 2013. |
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文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
w18870.pdf(1223KB) | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 |
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