VAR, ERROR CORRECTION AND PRETEST FORECASTS AT LONG HORIZONS
研究使用20至40年数据预测未来四年等长预测期时，单位根或近单位根自回归根带来的困难，指出即使采用预检验或模型选择也难以改善点预测和区间预测的精度。
This paper focuses on the construction of forecasts over long horizons where a typical long‐horizon forecast might span four years using 20 to 40 years’ data. It is argued that the presence of persistence in the form of unit or near‐unit autoregressive roots poses substantial difficulties for long‐horizon interval and point forecasting. These difficulties may not be overcome even by efficient pre‐testing or model‐selection procedures and might, in general, lead to point forecasts with large asymptotic root mean squared errors and undesirably wide prediction intervals.