Clive Granger Forecasts Quotations

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.

A potentially useful property of forecasts based on cointegration is that when extended some way ahead, the forecasts of the two series will form a constant ratio, as is expected by some asymptotic economic theory.