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VAR, Error Correction and Pretest Forecasts at Long Horizons Author info | Abstract | Publisher info | Download info | Related research | Statistics Stock, James H
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This paper focuses on the construction of forecasts over long horizons where a typical, long-horizon forecast might span four years using twenty to forty years' data. It is argued that the presence of persistence in the form of unit or near-unit autoregressive roots poses substantial difficulties for long-horizon interval and point forecasting. These difficulties may not be overcome even by efficient pretesting or model-selection procedures and might, in general, lead to point forecasts with large asymptotic root mean squared errors and undesirably wide prediction intervals. Copyright 1996 by Blackwell Publishing Ltd
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Article provided by Department of Economics, University of Oxford in its journal Oxford Bulletin of Economics & Statistics .
Volume (Year): 58 (1996)
Issue (Month): 4 (November)
Pages: 685-701
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Handle: RePEc:bla:obuest:v:58:y:1996:i:4:p:685-701Contact details of provider: Web page: http://www.blackwellpublishing.com/journal.asp?ref=0305-9049
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