Forecasts vary in horizon, from a few seconds up to a few days in financial markets, compared to from one to several months for macro variables. We have to provide uncertainty intervals around the central forecasts to indicate the extent to which we are unclear about the future.
From Clive Granger
Rob Engle and I are concerned with extracting useful implications from economic data, and so the properties of the data are of particular importance.
A teacher told my mother that I would never become successful, which illustrates the difficulty of long-run forecasting on inadequate data.
I preferred to use mathematics in some practical fashion and thought that meteorology sounded promising.
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