of comparable VAR that fails to recognize that the system is characterized by cointegration. I use Monte Carlo simulation … knowledge of cointegration rank. Furthermore the results indicate that a cointegration modeling of credit risk should be favored … against the prevalent level or differenced estimation. …

of comparable VAR that fails to recognize that the system is characterized by cointegration. I use Monte Carlo simulation … knowledge of cointegration rank. Furthermore the results indicate that a cointegration modeling of credit risk should be favored … against the prevalent level or differenced estimation. …

of the obtained models. Different specification and estimation algorithms are considered; in particular, within the … the CCA subspace algorithm, including a density forecasting analysis. …

cointegration approach to the integral approach to the estimation of the coefficients in the individual and generalized … deflator, it provides a root mean square forecasting error (RMFSE) of 1.0% at a four-year horizon for the period between 1971 … and 2004. The relationship is tested for cointegration. All three variables involved in the relationship are proved to be …

obtained for the USA is characterized by A1=4.0, A2=-0.03075, and t1=2 years. It provides a root mean square forecasting error … (RMFSE) of 0.8% at a two-year horizon for the period between 1965 and 2002 (the best among other inflation forecasting models …) and has a perfect parsimony - only one predictor. The relationship is tested for cointegration. Both variables are …

model of interest rate determination. The empirical part consists of a cointegration analysis with an error correction … model in different forecasting exercises. …

various maturities. Furthermore we conclude that term structure dynamics exhibit significant nonlinearity. Forecasting …

Forecasting the nominal exchange rate has been one of the most difficult exercises in economics. This study employs the … identified cointegrated vector. Out of sample forecasting analysis of parsimonious short run dynamic error correction model is …

the naive one by a factor of 2 to 3. The relationships for inflation were successfully tested for cointegration. We have …

the forecasting regression. We also present less formal evidence that, with real-time data, the Taylor rule provides a … specifications that do not include the real exchange rate in the forecasting regression, the results are robust to whether or not the … the forecasting regression. Bad news about inflation and good news about real economic activity both lead to out …