Content Horizons For Forecasts Of Economic Time Series
We consider the problem of determining the horizon beyond which forecasts from time series models of stationary processes add nothing to the forecast implicit in the conditional mean. We refer to this as the content horizon for forecasts, and define a forecast content function at horizons s = 1,... S as the proportionate reduction in mean squared forecast error available from a time series forecast relative to the unconditional mean. This function depends upon parameter estimation uncertainty as well as on autocorrelation structure of the process under investigation. We give an approximate expression (to o(1/T)) for the forecast content function at s for a general autoregressive process, and show by simulation that the expression gives a good approximation even at modest sample sizes. Finally we consider parametric and non-parametric (kernel) estimators of the empirical forecast content function, and apply the results to forecast horizons for inflation and the growth rate of GDP, in U.S. and Canadian data.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
|Date of creation:||Apr 1999|
|Contact details of provider:|| Postal: 855 Sherbrooke St. W., Montréal, Québec, H3A 2T7|
Phone: (514) 398-3030
Fax: (514) 398-4938
Web page: http://www.repec.mcgill.ca
More information through EDIRC
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.:
- Neil R. Ericsson & Jaime Marquez, 1998.
"A framework for economic forecasting,"
Royal Economic Society, vol. 1(Conferenc), pages 228-266.
- Marcel Boyer, 1999. "Les Expos, l'OSM, les universités, les hôpitaux : Le coût d'un déficit de 400 000 emplois au Québec = Expos, Montreal Symphony Orchestra, Universities, Hospitals: The Cost of a 400,000-Job Shortfall i," CIRANO Papers 99c-01, CIRANO.
- Francis X. Diebold & Lutz Kilian, 2001.
"Measuring predictability: theory and macroeconomic applications,"
Journal of Applied Econometrics,
John Wiley & Sons, Ltd., vol. 16(6), pages 657-669.
- Francis X. Diebold & Lutz Kilian, 1997. "Measuring predictability: theory and macroeconomic applications," Working Papers 97-23, Federal Reserve Bank of Philadelphia.
- Francis X. Diebold & Lutz Kilian, 1998. "Measuring Predictability: Theory and Macroeconomic Applications," Working Papers 98-16, New York University, Leonard N. Stern School of Business, Department of Economics.
- Diebold, Francis X & Kilian, Lutz, 2000. "Measuring Predictability: Theory And Macroeconomic Applications," CEPR Discussion Papers 2424, C.E.P.R. Discussion Papers.
- Francis X. Diebold & Lutz Kilian, 1997. "Measuring Predictability: Theory and Macroeconomic Applications," NBER Technical Working Papers 0213, National Bureau of Economic Research, Inc.
- Francis X. Diebold & Lutz Kilian, "undated". "Measuring Predictability: Theory and Macroeconomic Applications," CARESS Working Papres 97-19, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences.
- Eric Ghysels & Denise R. Osborn & Paulo M. M. Rodrigues, 1999. "Seasonal Nonstationarity and Near-Nonstationarity," CIRANO Working Papers 99s-05, CIRANO.
- Hardle, W., 1992.
"Applied Nonparametric Methods,"
9204, Catholique de Louvain - Institut de statistique.
- HÄRDLE, Wolfgang, 1992. "Applied nonparametric methods," CORE Discussion Papers 1992003, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Wolfgang Hardle & Oliver Linton, 1994. "Applied Nonparametric Methods," Cowles Foundation Discussion Papers 1069, Cowles Foundation for Research in Economics, Yale University.
- Härdle, W.K., 1992. "Applied Nonparametric Methods," Discussion Paper 1992-6, Tilburg University, Center for Economic Research.
- Hardle, W., 1992. "Applied Nonparametric Methods," Papers 9206, Tilburg - Center for Economic Research.
- James H. Stock & Mark W. Watson, 1998. "A Comparison of Linear and Nonlinear Univariate Models for Forecasting Macroeconomic Time Series," NBER Working Papers 6607, National Bureau of Economic Research, Inc.
- Oliver LINTON, "undated".
"Applied nonparametric methods,"
Statistic und Oekonometrie
9312, Humboldt Universitaet Berlin.
When requesting a correction, please mention this item's handle: RePEc:mcl:mclwop:1999-01. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Shama Rangwala)
If references are entirely missing, you can add them using this form.