Cointegration and Long Horizon Forecasting

Produk Detail:
  • Author : Mr.Peter F. Christoffersen
  • Publisher : International Monetary Fund
  • Pages : 30 pages
  • ISBN : 1451848137
  • Rating : /5 from reviews
CLICK HERE TO GET THIS BOOK >>>Cointegration and Long Horizon Forecasting

Download or Read online Cointegration and Long Horizon Forecasting full in PDF, ePub and kindle. this book written by Mr.Peter F. Christoffersen and published by International Monetary Fund which was released on 01 May 1997 with total page 30 pages. We cannot guarantee that Cointegration and Long Horizon Forecasting book is available in the library, click Get Book button and read full online book in your kindle, tablet, IPAD, PC or mobile whenever and wherever You Like. Imposing cointegration on a forecasting system, if cointegration is present, is believed to improve long-horizon forecasts. Contrary to this belief, at long horizons nothing is lost by ignoring cointegration when the forecasts are evaluated using standard multivariate forecast accuracy measures. In fact, simple univariate Box-Jenkins forecasts are just as accurate. Our results highlight a potentially important deficiency of standard forecast accuracy measures—they fail to value the maintenance of cointegrating relationships among variables—and we suggest alternatives that explicitly do so.

Cointegration and Long Horizon Forecasting

Cointegration and Long Horizon Forecasting
  • Author : Mr.Peter F. Christoffersen,Mr.Francis X. Diebold
  • Publisher : International Monetary Fund
  • Release : 01 May 1997
GET THIS BOOK Cointegration and Long Horizon Forecasting

Imposing cointegration on a forecasting system, if cointegration is present, is believed to improve long-horizon forecasts. Contrary to this belief, at long horizons nothing is lost by ignoring cointegration when the forecasts are evaluated using standard multivariate forecast accuracy measures. In fact, simple univariate Box-Jenkins forecasts are just as accurate. Our results highlight a potentially important deficiency of standard forecast accuracy measures—they fail to value the maintenance of cointegrating relationships among variables—and we suggest alternatives that explicitly do

Cointegration and Long Horizon Forecasting

Cointegration and Long Horizon Forecasting
  • Author : Mr. Francis X. Diebold,Mr. Peter F. Christoffersen
  • Publisher : International Monetary Fund
  • Release : 01 May 1997
GET THIS BOOK Cointegration and Long Horizon Forecasting

Imposing cointegration on a forecasting system, if cointegration is present, is believed to improve long-horizon forecasts. Contrary to this belief, at long horizons nothing is lost by ignoring cointegration when the forecasts are evaluated using standard multivariate forecast accuracy measures. In fact, simple univariate Box-Jenkins forecasts are just as accurate. Our results highlight a potentially important deficiency of standard forecast accuracy measures—they fail to value the maintenance of cointegrating relationships among variables—and we suggest alternatives that explicitly do

The Oxford Handbook of Economic Forecasting

The Oxford Handbook of Economic Forecasting
  • Author : Michael P. Clements,David F. Hendry
  • Publisher : Oxford University Press
  • Release : 29 June 2011
GET THIS BOOK The Oxford Handbook of Economic Forecasting

This Handbook provides up-to-date coverage of both new and well-established fields in the sphere of economic forecasting. The chapters are written by world experts in their respective fields, and provide authoritative yet accessible accounts of the key concepts, subject matter, and techniques in a number of diverse but related areas. It covers the ways in which the availability of ever more plentiful data and computational power have been used in forecasting, in terms of the frequency of observations, the number

Advances in Economics and Econometrics Theory and Applications

Advances in Economics and Econometrics  Theory and Applications
  • Author : Econometric Society. World Congress
  • Publisher : Cambridge University Press
  • Release : 20 February 1997
GET THIS BOOK Advances in Economics and Econometrics Theory and Applications

These books comprise papers examining the latest developments in economic theory, applied economics and econometrics presented at the Seventh World Congress of the Econometric Society in Tokyo in August 1995. The topics were carefully selected to represent the most active fields in the discipline over the past five years. Written by the leading authorities in their fields, each paper provides a unique survey of the current state of knowledge in economics. Designed to make the material accessible to a general audience

Integration Cointegration and the Forecast Consistency of Structural Exchange Rate Models

Integration  Cointegration and the Forecast Consistency of Structural Exchange Rate Models
  • Author : Yin-Wong Cheung,Menzie David Chinn
  • Publisher : Unknown
  • Release : 20 April 1997
GET THIS BOOK Integration Cointegration and the Forecast Consistency of Structural Exchange Rate Models

Exchange rate forecasts are generated using some popular monetary models of exchange rates in conjunction with several 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 cointegrating vector consistent with long run unitary elasticity of expectations. When these conditions hold, we consider the forecasts to be consistent.' We find that

Estimating Log Models

Estimating Log Models
  • Author : Willard G. Manning,John Mullahy
  • Publisher : Unknown
  • Release : 20 April 1999
GET THIS BOOK Estimating Log Models

Data on health care expenditures, length of stay, utilization of health services, consumption of unhealthy commodities, etc. are typically characterized by: (a) nonnegative outcomes; (b) nontrivial fractions of zero outcomes in the population (and sample); and (c) positively-skewed distributions of the nonzero realizations. Similar data structures are encountered in labor economics as well. This paper provides simulation-based evidence on the finite-sample behavior of two sets of estimators designed to look at the effect of a set of covariates x on