We consider the forecasting of cointegrated variables, and we show that at long horizons" nothing is lost by ignoring cointegration when forecasts are evaluated using standard multivariate" forecast accuracy measures. In fact, simple univariate Box-Jenkins forecasts are just as accurate. " Our...

Using research designs patterned after randomized experiments, many recent economic studies examine outcome measures for treatment groups and comparison groups that are not randomly assigned. By using variation in explanatory variables generated by changes in state laws, government draft...

Prediction problems involving asymmetric loss functions arise routinely in many fields, yet the theory of optimal prediction under asymmetric loss is not well developed. We study the optimal prediction problem under general loss structures and characterize the optimal predictor. We compute the...