Cointegration and Long-Horizon Forecasting

Released on by Mr.Peter F. Christoffersen
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  • Cointegration and Long-Horizon Forecasting Book Detail

  • Author : Mr.Peter F. Christoffersen
  • Release Date : 1997-05-01
  • Publisher : International Monetary Fund
  • Genre : Business & Economics
  • Pages : 31
  • ISBN 13 : 1451848137
  • File Size : 85,85 MB
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Cointegration and Long-Horizon Forecasting by Mr.Peter F. Christoffersen PDF Summary

Book Description: 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.

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