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01881cas a2200313 a 4500 |
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AALejournalIMF000376 |
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|c 5.00 USD
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|z 9781451848137
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| 022 |
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|a 1018-5941
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| 040 |
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|a BD-DhAAL
|c BD-DhAAL
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1 |
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|a Diebold, Francis.
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|a Cointegration and Long-Horizon Forecasting /
|c Francis Diebold, Peter Christoffersen.
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| 264 |
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|a Washington, D.C. :
|b International Monetary Fund,
|c 1997.
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| 300 |
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|a 1 online resource (30 pages)
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| 490 |
1 |
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|a IMF Working Papers
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| 500 |
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|a <strong>Off-Campus Access:</strong> No User ID or Password Required
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| 500 |
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|a <strong>On-Campus Access:</strong> No User ID or Password Required
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|a Electronic access restricted to authorized BRAC University faculty, staff and students
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|a 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 measures-they fail to value the maintenance of cointegrating relationships among variables-and we suggest alternatives that explicitly do so.
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| 538 |
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|a Mode of access: Internet
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| 650 |
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7 |
|a Dynamic Quantile Regressions
|2 imf
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| 650 |
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|a Dynamic Treatment Effect Models
|2 imf
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| 650 |
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|a Mover Accent
|2 imf
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| 650 |
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|a Time-Series Models
|2 imf
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| 650 |
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|a WP
|2 imf
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| 700 |
1 |
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|a Christoffersen, Peter.
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| 830 |
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|a IMF Working Papers; Working Paper ;
|v No. 1997/061
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| 856 |
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|z Full text available on IMF
|u http://elibrary.imf.org/view/journals/001/1997/061/001.1997.issue-061-en.xml
|z IMF e-Library
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