Cointegration and Long-Horizon Forecasting
The authors consider the forecasting of cointegrated variables and they show that, at long horizons, nothing is lost by ignoring cointegration when forecasts are evaluated using standard multivariate forecast accuracy measures. In fact, simple univariate Box-Jenkins forecasts are just as accurate. The authors' results highlight a potentially important deficiency of standard forecast accuracy measures--they fail to value the maintenance of cointegrating relationships among variables--and the authors suggest alternatives that explicitly do so.
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Volume (Year): 16 (1998)
Issue (Month): 4 (October)
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Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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