---- Acknowledgements -----
The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research. Support from the National Science Foundation (NSF) under Grant DGE-07-07425 (Jurado) and SES-0962431 (Ng) are gratefully acknowledged. We thank Nick Bloom, Steve Davis, Francis Diebold, Lutz Kilian, Laura Veldkamp, seminar participants at Columbia University, NYU, UCLA, the Vienna Workshop on High- Dimensional Time Series in Macroeconomics and Finance, the 2013 SITE conference on The Macroeconomics of Uncertainty and Volatility, the 2013 NBER Summer Institute workshop on "Forecasting and Empirical Methods in Macro and Finance" for helpful comments. We also thank Paolo Cavallino and Daniel Greenwald for excellent research assistance. Any errors or omissions are the responsibility of the authors. Uncertainty estimates and additional results are available from the website http://www.econ.nyu.edu/user/ludvigsons/jln_supp.pdf.