TESTING LONG‐HORIZON PREDICTIVE ABILITY WITH HIGH PERSISTENCE, AND THE MEESE–ROGOFF PUZZLE*
提出高持久性会导致经济模型长期预测产生估计偏差，从而解释为何随机游走模型在汇率预测中常优于经济模型，并给出一种高持久性下的预测能力检验方法。
A well‐known puzzle in international finance is that a random walk predicts exchange rates better than economic models. I offer a potential explanation. When exchange rates and fundamentals are highly persistent, long‐horizon forecasts of economic models are biased by the estimation error. When this bias is big, a random walk will forecast better, even if the economic model is true. I propose a test for equal predictability in the presence of high persistence. It shows that the poor forecasting ability of economic models does not imply that the models are not good descriptions of the data.