Lower Bounds of Uncertainty of Observations of Macroeconomic Variables and Upper Limits on the Accuracy of Their Forecasts
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arXiv
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| Format: | Preprint |
| Veröffentlicht: |
2024
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| _version_ | 1866917795009134592 |
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| author | Olkhov, Victor |
| author_facet | Olkhov, Victor |
| contents | This paper defines theoretical lower bounds of uncertainty of observations of macroeconomic variables that depend on statistical moments and correlations of random values and volumes of market trades. Any econometric assessments of macroeconomic variables have greater uncertainty. We consider macroeconomic variables as random that depend on random values and volumes of trades. To predict random macroeconomic variables, one should forecast their probabilities. Upper limits on the accuracy of the forecasts of probabilities of macroeconomic variables, prices, and returns depend on the number of predicted statistical moments. We consider economic obstacles that limit by the first two the number of predicted statistical moments. The accuracy of any forecasts of probabilities of random macroeconomic variables, prices, returns, and market trades doesn't exceed the accuracy of Gaussian approximations. Any forecasts of macroeconomic variables have uncertainty higher than one determined by predictions of coefficients of variation of random values and volumes of trades. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2408_04644 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Lower Bounds of Uncertainty of Observations of Macroeconomic Variables and Upper Limits on the Accuracy of Their Forecasts Olkhov, Victor General Economics Economics General Finance Statistical Finance This paper defines theoretical lower bounds of uncertainty of observations of macroeconomic variables that depend on statistical moments and correlations of random values and volumes of market trades. Any econometric assessments of macroeconomic variables have greater uncertainty. We consider macroeconomic variables as random that depend on random values and volumes of trades. To predict random macroeconomic variables, one should forecast their probabilities. Upper limits on the accuracy of the forecasts of probabilities of macroeconomic variables, prices, and returns depend on the number of predicted statistical moments. We consider economic obstacles that limit by the first two the number of predicted statistical moments. The accuracy of any forecasts of probabilities of random macroeconomic variables, prices, returns, and market trades doesn't exceed the accuracy of Gaussian approximations. Any forecasts of macroeconomic variables have uncertainty higher than one determined by predictions of coefficients of variation of random values and volumes of trades. |
| title | Lower Bounds of Uncertainty of Observations of Macroeconomic Variables and Upper Limits on the Accuracy of Their Forecasts |
| topic | General Economics Economics General Finance Statistical Finance |
| url | https://arxiv.org/abs/2408.04644 |