Narrow search
Showing 1 - 3 of 3
Cover Image
Integration, Kointegration und die Langzeitprognose von Kreditausfallzyklen
Wagatha, Matthias - Volkswirtschaftliche Fakultät, … - 2007
Summary: This paper examines the longterm forecast performance of cointegrated systems relative to forecast performance of comparable VAR that fails to recognize that the system is characterized by cointegration. I use Monte Carlo simulation, real data sets, and multi-step-ahead forecasts to...
Persistent link: https://www.econbiz.de/10005789941
Cover Image
Cointegration, Integration, and Long-Term Forcasting
Chigira, Hiroaki; Yamamoto, Taku - Institute of Economic Research, Hitotsubashi University - 2006
It is widely believed that taking cointegration and integration into consideration is useful in constructing long …-term forecasts for cointegrated processes. This paper shows that imposing neither cointegration nor integration leads to superior …
Persistent link: https://www.econbiz.de/10005675519
Cover Image
Integration, Kointegration und die Langzeitprognose von Kreditausfallzyklen
Wagatha, Matthias - Volkswirtschaftliche Fakultät, … - 2007
Summary: This paper examines the longterm forecast performance of cointegrated systems relative to forecast performance of comparable VAR that fails to recognize that the system is characterized by cointegration. I use Monte Carlo simulation, real data sets, and multi-step-ahead forecasts to...
Persistent link: https://www.econbiz.de/10005622096