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The scale of predictability

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type 01 Jan 2012 United Kingdom, Italy Publisher:Elsevier BVJournal:Journal of Econometrics, volume 208, pages 120-140 (issn: 0304-4076,

Authors: Federico M. Bandi; Andrea Tamoni; Claudio Tebaldi; Benoit Perron; Benoit Perron;

doi: 10.1016/j.jeconom.2018.09.008 , 10.2139/ssrn.2184260

handle: 11565/4002074

The scale of predictability

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Abstract

We view economic time series as the result of a cascade of shocks occurring at dierent times and dierent frequencies. In agreement with this premise, we suggest that equilibrium (predictive) relations that are found to be elusive when using raw data may hold true for dierent layers, components, or details, in the cascade of shocks aecting economic time series. This observation leads to a notion of a scale-specic predictability . We show that running predictive

Countries

United Kingdom, Italy

Related Organizations

CIRANO
Canada
Johns Hopkins University
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Center for Interuniversity Research and Analysis on Organizations
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Rutgers, The State University of New Jersey
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London School of Economics and Political Science
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Keywords

LONG RUN, PREDICTABILITY, AGGREGATION, RISK-RETURN TRADE-OFF, long run, predictability, aggregation, risk-return trade-off

Impact byBIP!

	citations This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).	62
	popularity This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.	Top 10%
	influence This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).	Top 10%
	impulse This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.	Top 10%