Measuring uncertainty about long-run predictions

DOI10.1093/RESTUD/RDW003MaRDI QIDQ4610832zbMATH OpenOpenAlexFDO

Authors Ulrich K. Müller, Mark W. Watson

Publication date 23 January 2019

Published in Review of Economic Studies (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/restud/rdw003

zbMATH Keywords

least favourable distributionlow frequencyprediction intervalspectral analysis

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

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Cited in

(11)

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• On the long-run fluctuations of inheritance in two-sector OLG models
• Asymptotic theory for regression models with fractional local to unity root errors
• SPECTRAL FINANCIAL ECONOMETRICS
• Long‐term prediction intervals with many covariates
• Spatial correlation robust inference
• Spatial unit roots and spurious regression
• Long-run risk in stationary vector autoregressive models
• An empirical evaluation of some long-horizon macroeconomic forecasts
• Random Walk Forecasts of Stationary Processes Have Low Bias
• Testing coefficient stability in spatial regression

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