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Cointegration and long-horizon forecasting

Author: Peter F Christoffersen; Francis X Diebold; International Monetary Fund. Research Department.
Publisher: [Washington, D.C.] : International Monetary Fund, Research Dept., ©1997.
Series: IMF working paper, WP/97/61.
Edition/Format:   eBook : Document : International government publication : EnglishView all editions and formats
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Christoffersen, Peter F.
Cointegration and long-horizon forecasting.
[Washington, D.C.] : International Monetary Fund, Research Dept., ©1997
(OCoLC)37203839
Material Type: Document, Government publication, International government publication, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Peter F Christoffersen; Francis X Diebold; International Monetary Fund. Research Department.
ISBN: 1451894902 9781451894905 1281601969 9781281601964
OCLC Number: 647680993
Reproduction Notes: Electronic reproduction. [S.l.] : HathiTrust Digital Library, 2010. MiAaHDL
Description: 1 online resource (30 pages) : illustrations.
Details: Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002.
Series Title: IMF working paper, WP/97/61.
Responsibility: prepared by Peter F. Christoffersen and Francis X. Diebold.

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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 measuresthey fail to value the maintenance of cointegrating relationships among variablesand we suggest alternatives that explicitly do so.

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