LONG RUN PREDICTIONS

Christian Gourieroux; Joann Jasiak

doi:10.2307/48655902

LONG RUN PREDICTIONS

Christian Gourieroux
, Joann Jasiak

Research output: Contribution to journal › Article › peer-review

Abstract

This paper reexamines the modelling of long run risk in the econometric literature. We show that, if the macro or financial series are driven by the short and long run factors, then it is possible to identify all short run parameters, but not all long run parameters. We also develop techniques of evaluation of the long run estimation risk based on finite sample methods.

Original language	English
Pages (from-to)	75-90
Number of pages	16
Journal	Annals of Economics and Statistics
Issue number	145
DOIs	https://doi.org/10.2307/48655902
Publication status	Published - 1 Mar 2022
Externally published	Yes

Keywords

Estimation Risk
Impossibility Theorem
Local Level Model
Local-to-Unity Model
Long Run Risk
Prediction
Required Capital
Ultra Long Run

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title = "LONG RUN PREDICTIONS",

abstract = "This paper reexamines the modelling of long run risk in the econometric literature. We show that, if the macro or financial series are driven by the short and long run factors, then it is possible to identify all short run parameters, but not all long run parameters. We also develop techniques of evaluation of the long run estimation risk based on finite sample methods.",

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KW - Impossibility Theorem

KW - Local Level Model

KW - Local-to-Unity Model

KW - Long Run Risk

KW - Prediction

KW - Required Capital

KW - Ultra Long Run

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LONG RUN PREDICTIONS

Abstract

Keywords

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