Long Run Predictions

Christian Gourieroux and Joann Jasiak

Annals of Economics and Statistics, 2022, issue 145, 75-90

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.

Keywords: Long Run Risk; Estimation Risk; Prediction; Local Level Model; Local to Unity Model; Ultra Long Run; Impossibility Theorem; Required Capital (search for similar items in EconPapers)
JEL-codes: C11 C22 C53 G18 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:adr:anecst:y:2022:i:145:p:75-90

DOI: 10.2307/48655902

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