This paper argues in favour of a closer link between decision and forecast evaluation problems. Although the idea of using decision theory for forecast evaluation appears early in the dynamic stochastic programming literature, and has continued to be used in meteorological forecasts, it is...

There exist a variety of reasons for the failure to find a unique cointegrating relationship between economic time series where one would normally be expected on economic theory grounds. Among these are the testing procedure (e.g., Engle and Granger (1987) or Johansen (1991), the span of the...