01881cas a2200313 a 4500 AALejournalIMF000376 230101c9999 xx r poo 0 0eng d 5.00 USD 9781451848137 1018-5941 BD-DhAAL BD-DhAAL Diebold, Francis. Cointegration and Long-Horizon Forecasting / Francis Diebold, Peter Christoffersen. Washington, D.C. : International Monetary Fund, 1997. 1 online resource (30 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students 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. Mode of access: Internet Dynamic Quantile Regressions imf Dynamic Treatment Effect Models imf Mover Accent imf Time-Series Models imf WP imf Christoffersen, Peter. IMF Working Papers; Working Paper ; No. 1997/061 Full text available on IMF http://elibrary.imf.org/view/journals/001/1997/061/001.1997.issue-061-en.xml IMF e-Library