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...
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| Format: | Book |
| Language: | English |
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Washington, D.C. :
International Monetary Fund,
1997
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| Series: | IMF Working Papers; Working Paper ;
No. 1997/061 IMF eLibrary |
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