Measuring Predictability: Theory and Macroeconomic Applications
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We propose a measure of predictability based on the ratio of the expected loss of a short-run forecast to the expected loss of a long-run forecast. This predictability measure can be tailored to the forecast horizons of interest, and it allows for general loss functions, univariate or multivariate
本文提出一种可预测性度量方法，其基于短期预测的期望损失与长期预测的期望损失之比。该可预测性度量可针对所关注的预测期进行定制，且支持一般损失函数，可适用于单变量或多变量
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美国国家经济研究局创建时间：
1997-08-01
