Cointegration and Long-Horizon Forecasting /
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...
| Главный автор: | |
|---|---|
| Другие авторы: | |
| Формат: | Журнал |
| Язык: | English |
| Опубликовано: |
Washington, D.C. :
International Monetary Fund,
1997.
|
| Серии: | IMF Working Papers; Working Paper ;
No. 1997/061 |
| Предметы: | |
| Online-ссылка: | Full text available on IMF |