variables may be fractionally integrated and the predictive relation may feature cointegration, we provide sup-Wald break tests … theory for the tests, showing that it coincides with standard testing procedures. As a consequence, existing critical values …

in closed-form solutions for the best forecast. When applied to data on 132 U.S. monthly macroeconomic time series, the …

estimation techniques. We propose an alternative set of criteria for evaluating forecast rationality which entails the following … requirements: the forecast and the actual series i) have the same order of integration, ii) are cointegrated, and iii) have a …, according to the Johansen procedure, cointegration fails to hold the farther out the forecasts extend. At the one year ahead …

equilibrium economic theory is presented to argue for the plausibility of cointegration, however, regional economic forecasting …This paper tests for cointegration between regional output of an industry and national output of the same industry. An … using the shift and share framework often acts as if cointegration does not exist. Data analysis on broad industrial sectors …

models, the relation between levels and differences, integration and cointegration, and the Hansen-Sargent prediction …