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Measuring Uncertainty about Long-Run Prediction / Ulrich Mueller, Mark W. Watson.
- Format:
- Book
- Author/Creator:
- Mueller, Ulrich.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w18870.
- NBER working paper series no. w18870
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2013.
- Summary:
- 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.
- Notes:
- Print version record
- March 2013.
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