Siliverstovs, Boriss (contributor); Engsted, Tom (contributor) - 2002 - [Elektronische Ressource]
containing non-stationary variables, cointegration may be thought to play
a key role in assessing forecasting ability, especially … over long horizons, because cointegration captures
the long-run comovement of the variables. Several studies have … compare
mean-squared forecast errors from a VAR in levels, which does not impose cointegration, to forecasts
from a correctly …