In this paper long-run forecasting of multicointegrating variables is investigated. Multicointegration typically occurs …" restriction on out-of-sample valuation and forecasting accuracy of such variables is of interest. In particular, we compare the … long-run forecasting performance of the multicointegrated variables between a model that correctly imposes the "common …

combination forecasting techniques. A simulation study shows that our tests have power to reject unpredictability in both …