John Galbraith

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Staff Working Papers

How Far Can Forecasting Models Forecast? Forecast Content Horizons for Some Important Macroeconomic Variables

Staff Working Paper 2007-1 John Galbraith, Greg Tkacz
For stationary transformations of variables, there exists a maximum horizon beyond which forecasts can provide no more information about the variable than is present in the unconditional mean. Meteorological forecasts, typically excepting only experimental or exploratory situations, are not reported beyond this horizon; by contrast, little generally accepted information about such maximum horizons is available for economic variables.

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