Cointegration, Integration, and Long-Term Forcasting
AbstractIt is widely believed that taking cointegration and integration into consideration is useful in constructing long-term forecasts for cointegrated processes. This paper shows that imposing neither cointegration nor integration leads to superior long-term forecasts.
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Bibliographic InfoPaper provided by Institute of Economic Research, Hitotsubashi University in its series Hi-Stat Discussion Paper Series with number d05-148.
Date of creation: Mar 2006
Date of revision:
Forecasting; Cointegration; Integration;
Find related papers by JEL classification:
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models
This paper has been announced in the following NEP Reports:
- NEP-ALL-2006-04-08 (All new papers)
- NEP-ECM-2006-04-08 (Econometrics)
- NEP-ETS-2006-04-08 (Econometric Time Series)
- NEP-FOR-2006-04-08 (Forecasting)
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