Title Cointegration and long-horizon forecasting / prepared by Peter F. Christoffersen and Francis X. Diebold

Published [Washington, D.C.] : International Monetary Fund, Research Dept., ©1997

Click on the following:
IMF eLibrary

Copies

Description 1 online resource (30 pages) : illustrations Series IMF working paper ; WP/97/61 IMF working paper ; WP/97/61. Summary Annotation Imposing cointegration on a forecasting system, if cointegration is present, is believed to improve long-horizon forecasts. Contrary to this belief, at long horizons nothing is lost by ignoring cointegration when the forecasts are evaluated using standard multivariate forecast accuracy measures. In fact, simple univariate Box-Jenkins forecasts are just as accurate. Our results highlight a potentially important deficiency of standard forecast accuracy measuresthey fail to value the maintenance of cointegrating relationships among variablesand we suggest alternatives that explicitly do so Bibliography Includes bibliographical references (pages 29-30) Notes Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212 MiAaHDL Print version record digitized 2010 HathiTrust Digital Library committed to preserve pda MiAaHDL Subject Forecasting -- Mathematical models. Cointegration. Econometrics. Cointegration Econometrics Forecasting -- Mathematical models ECONOMIC FORECASTS. FORECASTING TECHNIQUES. Form Electronic book Author Diebold, Francis X., 1959- International Monetary Fund. Research Department ISBN 1451894902 9781451894905 1281601969 9781281601964

  Permalink