We examine forecasting performance of the recent fractionally cointegrated vector autoregressive (FCVAR) model. The … competing models and at various forecast horizons. Our findings show that the precision of fore- casts generated by the FCVAR … considered are generally ranked as the top four models in terms of forecast accuracy. Furthermore, the FCVAR model significantly …

important include macroeconomic and financial time series. In this paper we are testing forecasting capacity of the time series … forecasting the number of tourist guests for the next year. …