wide range of forecast horizons and allow for estimated as well as theoretically specified cointegrating relationships in … theory, but only when the cointegrating relations are specified a priori based on economic theory. When estimated … are also reported on. The first shows that cointegration vector parameter estimation error is crucial when using VEC …

forecast combination literature, the effects of model and estimation uncertainty on forecast outcomes are examined by pooling …

-time forecasts of the real price of oil can be more accurate than the no-change forecast at horizons up to one year. In some cases … prices, forecasts based on AR and ARMA models, and the no-change forecast. In addition, these VAR models have consistently … forecasters to interpret their oil price forecast in light of economic models and to evaluate its sensitivity to alternative …

. Building on the forecast combination literature, the paper examines the effects of model and estimation uncertainty on forecast …

much the forecast would change relative to the baseline forecast under alternative scenarios about future oil demand and … evaluating the risks underlying these forecasts. We show how policy-relevant forecast scenarios can be constructed from recently … to these scenarios affect the upside and downside risks embodied in the baseline real-time oil price forecast. Such risk …

Die Prognose von makroökonomischen Zeitreihen steht häufig vor dem Problem, dass die verwendeten Indikatoren und die … Informationen, die innerhalb einer Periode hinzukommen, in die Prognose einbezogen werden können. Anhand einer Fallstudie für das …

The concept of cointegration (see e.g., Engle and Granger, 1987; Johansen, 1988) has extensively been used to model …