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.

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 teacher told my mother that I would never become successful, which illustrates the difficulty of long-run forecasting on inadequate data.

The stock market is like a small row boat on a rough sea, bouncing around as it drifts, whereas the macro economy is like a large ocean liner, very ponderous and difficult to maneuver but without such a rough journey.

On completing my degree, I started a Ph.D. in statistics, although I knew very little about the topic. My supervisor was Professor Harry Pitt, who was an excellent pure mathematician and probabilist.

I work with the macro economy, which involves the major variables that measure the health of the whole economy, such as total consumption, investment, income, employment, and inflation.