R 2 Bounds for Predictive Models: What Univariate Properties Tell us About Multivariate Predictability
研究为何多变量模型在宏观预测中难以持续优于单变量模型，从总体性质推导多变量模型预测R平方的界限，并用CPI通胀数据说明。
A longstanding puzzle in macroeconomic forecasting has been that a wide variety of multivariate models have struggled to out-predict univariate models consistently. We seek an explanation for this puzzle in terms of population properties. We derive bounds for the predictive R2 of the true, but unknown, multivariate model from univariate ARMA parameters alone. These bounds can be quite tight, implying little forecasting gain even if we knew the true multivariate model. We illustrate using CPI inflation data. \n \n