Christoffersen, Peter F; Diebold, Francis X - In: Journal of Business & Economic Statistics 16 (1998) 4, pp. 450-58
The authors consider the forecasting of cointegrated variables and they show that, at long horizons, nothing is lost by ignoring cointegration when forecasts are evaluated using standard multivariate forecast accuracy measures. In fact, simple univariate Box-Jenkins forecasts are just as...