Cointegration, Integration, and Long-Term Forcasting

It is widely believed that taking cointegration and integration into consideration is useful in constructing long-term forecasts for cointegrated processes. This paper shows that imposing neither cointegration nor integration leads to superior long-term forecasts.

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Year of publication:	2006-03
Authors:	Chigira, Hiroaki ; Yamamoto, Taku
Institutions:	Institute of Economic Research, Hitotsubashi University
Subject:	Forecasting \| Cointegration \| Integration

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Extent:	application/pdf
Series:	Hi-Stat Discussion Paper Series.
Type of publication:	Book / Working Paper
Language:	English
Classification:	C12 - Hypothesis Testing ; C32 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005675519