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Cointegration, Integration, and Long-Term Forcasting


  • Hiroaki Chigira
  • Taku Yamamoto


It 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.

Suggested Citation

  • Hiroaki Chigira & Taku Yamamoto, 2006. "Cointegration, Integration, and Long-Term Forcasting," Hi-Stat Discussion Paper Series d05-148, Institute of Economic Research, Hitotsubashi University.
  • Handle: RePEc:hst:hstdps:d05-148

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    References listed on IDEAS

    1. Ralph Paprzycki & Kyoji Fukao, 2005. "The Extent and History of Foreign Direct Investment in Japan," Hi-Stat Discussion Paper Series d05-84, Institute of Economic Research, Hitotsubashi University.
    2. Ralph Paprzycki, 2004. "What Caused the Recent Surge of FDI into Japan?," Hi-Stat Discussion Paper Series d04-31, Institute of Economic Research, Hitotsubashi University.
    3. Ralph Paprzycki & Kyoji Fukao, 2004. "Overcoming economic stagnation in Japan: The importance of total factor productivity and the potential contribution of foreign direct investment," Hi-Stat Discussion Paper Series d04-39, Institute of Economic Research, Hitotsubashi University.
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    More about this item


    Forecasting; Cointegration; Integration;

    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; Diffusion Processes; State Space Models

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