Cointegration and Long-Horizon Forecasting:
Gespeichert in:
Bibliographische Detailangaben
Beteilige Person: Diebold, Francis X. (VerfasserIn)
Format: Elektronisch E-Book
Sprache:Englisch
Veröffentlicht: Washington, D.C International Monetary Fund 1997
Schriftenreihe:IMF Working Papers Working Paper No. 97/61
Links:http://elibrary.imf.org/view/IMF001/01257-9781451848137/01257-9781451848137/01257-9781451848137.xml
http://elibrary.imf.org/view/IMF001/01257-9781451848137/01257-9781451848137/01257-9781451848137.xml
http://elibrary.imf.org/view/IMF001/01257-9781451848137/01257-9781451848137/01257-9781451848137.xml
http://elibrary.imf.org/view/IMF001/01257-9781451848137/01257-9781451848137/01257-9781451848137.xml
http://elibrary.imf.org/view/IMF001/01257-9781451848137/01257-9781451848137/01257-9781451848137.xml
http://elibrary.imf.org/view/IMF001/01257-9781451848137/01257-9781451848137/01257-9781451848137.xml
http://elibrary.imf.org/view/IMF001/01257-9781451848137/01257-9781451848137/01257-9781451848137.xml
http://elibrary.imf.org/view/IMF001/01257-9781451848137/01257-9781451848137/01257-9781451848137.xml
http://elibrary.imf.org/view/IMF001/01257-9781451848137/01257-9781451848137/01257-9781451848137.xml
http://elibrary.imf.org/view/IMF001/01257-9781451848137/01257-9781451848137/01257-9781451848137.xml
http://elibrary.imf.org/view/IMF001/01257-9781451848137/01257-9781451848137/01257-9781451848137.xml
http://elibrary.imf.org/view/IMF001/01257-9781451848137/01257-9781451848137/01257-9781451848137.xml
http://elibrary.imf.org/view/IMF001/01257-9781451848137/01257-9781451848137/01257-9781451848137.xml
http://elibrary.imf.org/view/IMF001/01257-9781451848137/01257-9781451848137/01257-9781451848137.xml
http://elibrary.imf.org/view/IMF001/01257-9781451848137/01257-9781451848137/01257-9781451848137.xml
http://elibrary.imf.org/view/IMF001/01257-9781451848137/01257-9781451848137/01257-9781451848137.xml
http://elibrary.imf.org/view/IMF001/01257-9781451848137/01257-9781451848137/01257-9781451848137.xml
http://elibrary.imf.org/view/IMF001/01257-9781451848137/01257-9781451848137/01257-9781451848137.xml
http://elibrary.imf.org/view/IMF001/01257-9781451848137/01257-9781451848137/01257-9781451848137.xml
http://elibrary.imf.org/view/IMF001/01257-9781451848137/01257-9781451848137/01257-9781451848137.xml
http://elibrary.imf.org/view/IMF001/01257-9781451848137/01257-9781451848137/01257-9781451848137.xml
Abstract: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 fact, simple univariate Box-Jenkins forecasts are just as accurate. Our results highlight a potentially important deficiency of standard forecast accuracy measures-they fail to value the maintenance of cointegrating relationships among variables-and we suggest alternatives that explicitly do so
Umfang:1 Online-Ressource (30 p)
ISBN:1451848137
9781451848137