Measuring predictability: theory and mac
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Francis X. Diebold; Lutz Kilian
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Article
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2001
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John Wiley and Sons
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English
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## Abstract We propose a measure of predictability based on the ratio of the expected loss of a shortβrun forecast to the expected loss of a longβrun forecast. This predictability measure can be tailored to the forecast horizons of interest, and it allows for general loss functions, univariate or m