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Long Run Predictions

Author

Listed:
  • Christian Gourieroux
  • Joann Jasiak

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.

Suggested Citation

  • Christian Gourieroux & Joann Jasiak, 2022. "Long Run Predictions," Annals of Economics and Statistics, GENES, issue 145, pages 75-90.
    • Handle: RePEc:adr:anecst:y:2022:i:145:p:75-90
    DOI: https://doi.org/10.2307/48655902
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    More about this item

    Keywords

    Long Run Risk; Estimation Risk; Prediction; Local Level Model; Local to Unity Model; Ultra Long Run; Impossibility Theorem; Required Capital;
    All these keywords.

    JEL classification:

    • C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • G18 - Financial Economics - - General Financial Markets - - - Government Policy and Regulation

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