For quantities that are approximately stationary, the information content of statistical forecasts tends to decline as the forecast horizon increases, and there exists a maximum horizon beyond which forecasts cannot provide discernibly more information about the variable than is present in the unconditional mean (the content horizon). The pattern of decay of forecast content (or skill) with increasing horizon is well known for many types of meteorological forecasts; by contrast, little generally-accepted information about these patterns or content horizons is available for economic variables. In this paper we attempt to develop more information of this type by estimating content horizons for variety of macroeconomic quantities; more generally, we characterize the pattern of decay of forecast content as we project farther into the future. We find wide variety of results for the different macroeconomic quantities, with models for some quantities providing useful content several years into the future, for other quantities providing negligible content beyond one or two months or quarters.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
Publisher Info
Paper provided by McGill University, Department of Economics in its series Departmental Working Papers with number
2007-01.
Find related papers by JEL classification: C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications E17 - Macroeconomics and Monetary Economics - - General Aggregative Models - - - Forecasting and Simulation
This paper has been announced in the following NEP Reports:
References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
Cited by: (explanations, Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.)