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.
- Author : Mr.Peter F. Christoffersen
- Publisher : International Monetary Fund
- Pages : 30 pages
- ISBN : 1451848137
- Release : 01 May 1997
- Rating : /5 from reviews