Forecasting in Cointegration Systems.
We consider the implications for forecast accuracy of imposing unit roots and cointegrating restrictions in linear systems of I(1) variables in levels, differences, and cointegrated combinations. Asymptotic formulae are obtained for multi-step forecast error variances for each representation. Altern...
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
| Published: |
1995
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