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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| Médium: | Časopis |
| Jazyk: | English |
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Washington, D.C. :
International Monetary Fund,
1997.
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| Edice: | IMF Working Papers; Working Paper ;
No. 1997/061 |
| Témata: | |
| On-line přístup: | Full text available on IMF |