Cointegration and Long-Horizon Forecasting /

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...

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Dettagli Bibliografici
Autore principale: Diebold, Francis
Altri autori: Christoffersen, Peter
Natura: Periodico
Lingua:English
Pubblicazione: Washington, D.C. : International Monetary Fund, 1997.
Serie:IMF Working Papers; Working Paper ; No. 1997/061
Soggetti:
Accesso online:Full text available on IMF