Various inflation forecasting models are compared using a simulated out-of-sample forecasting framework. We focus on … the question of whether monetary aggregates are useful for forecasting inflation, but unlike previous work we examine a … are also reported on. The first shows that cointegration vector parameter estimation error is crucial when using VEC …

In the conduct of empirical macroeconomic research, unit root, cointegration, common cycle, and related test statistics … substantive effect that incorrect transformation can have on the finite sample performance of common feature and cointegration …