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Cointegration and Long-Horizon Forecasting [electronic resource] Diebold, Francis X..

Author/Creator:
Diebold, Francis X.
Publication:
Washington, D.C. : International Monetary Fund, 1997.
Series:
IMF eLibrary
IMF Working Papers; Working Paper No. 97/61.
IMF Working Papers; Working Paper No. 97/61
Format/Description:
Government document
Book
1 online resource (30 p.)
Local subjects:
Autocorrelation. (search)
Cointegration. (search)
Confidence interval. (search)
Confidence intervals. (search)
Covariance. (search)
Covariance stationary. (search)
Diagonal matrix. (search)
Econometric theory. (search)
Econometrics. (search)
Economic forecasting. (search)
Economic statistics. (search)
Economic time series. (search)
Empirical methods. (search)
Equation. (search)
Error variance. (search)
Error-correction term. (search)
Finite variance. (search)
Forecast performance. (search)
Forecasting. (search)
Forecasting model. (search)
Forecasting models. (search)
Growth model. (search)
Logarithms. (search)
Mean square. (search)
Orthogonality. (search)
Polynomial. (search)
Prediction. (search)
Random walk. (search)
Sample size. (search)
Samples. (search)
Stationary processes. (search)
Statistics. (search)
Time series. (search)
Time series analysis. (search)
Wallis and Futuna Islands. (search)
Summary:
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.
Notes:
Description based on print version record.
Contributor:
Christoffersen, Peter F.
Diebold, Francis X.
Other format:
Print Version:
ISBN:
1451848137:
9781451848137
ISSN:
1018-5941
Publisher Number:
10.5089/9781451848137.001
Access Restriction:
Restricted for use by site license.
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