Measuring Uncertainty about Long-Run Predictions

• 成果类型: Article
• 署名作者: Muller, Ulrich K.; Watson, Markw.
• 署名单位: Princeton University
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1093/restud/rdw003
• 发表日期: 2016
• 页码: 1711-1740
• 关键词: impulse-response; inflation

摘要

Long-run forecasts of economic variables play an important role in policy, planning, and portfolio decisions. We consider forecasts of the long-horizon average of a scalar variable, typically the growth rate of an economic variable. The main contribution is the construction of prediction 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 prediction sets for 10-to 75-year average growth rates of U.S. real per capita GDP and consumption, productivity, price level, stock prices, and population.