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 …

forecasting performance. In fact, we find that the classical Lee-Carter model will otherwise over estimate the reduction of …

Carlo forecasting we find that the regime switching model appears to be especially attractive in forecasting relative prices. …