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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
becoming more apparent amidst the ever intensifying integration process within the EU and its involvement in areas which have …
Persistent link: https://www.econbiz.de/10008548826
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
becoming more apparent amidst the ever intensifying integration process within the EU and its involvement in areas which have …
Persistent link: https://www.econbiz.de/10008611582