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CO-INTEGRATION CONSTRAINT AND FORECASTING: AN EMPIRICAL EXAMINATION.
- Source :
- Journal of Applied Econometrics; Sep/Oct96, Vol. 11 Issue 5, p519-538, 20p, 10 Charts
- Publication Year :
- 1996
-
Abstract
- Presents a study that used simulation, real data sets and multi-step-ahead post-sample forecasts to determine if co-integration helps long-term forecasts. Accuracy of economic forecasts; Imposition of unit-root constraints; Explanations for the problematic performance of co-integration in long-term forecasting.
- Subjects :
- ECONOMIC forecasting
COINTEGRATION
Subjects
Details
- Language :
- English
- ISSN :
- 08837252
- Volume :
- 11
- Issue :
- 5
- Database :
- Complementary Index
- Journal :
- Journal of Applied Econometrics
- Publication Type :
- Academic Journal
- Accession number :
- 4978914
- Full Text :
- https://doi.org/10.1002/(SICI)1099-1255(199609)11:5<519::AID-JAE410>3.0.CO;2-Q