multicointegrated systems. For the forecast evaluation we consider several loss functions, each of which has a particular interpretation … square forecast error (MSFE) criterion focuses on the forecast errors of the flow variables alone. Likewise, a loss function … based on the triangular representation of cointegrated systems (suggested by Christoffersen and Diebold) considers forecast …

different loss functions based on a range of mean square forecast error criteria, and the results indicate that different loss … functions using a standard trace mean square forecast error criterion (penalizing the forecast errors of flow variables only …), and a loss function evaluating forecast errors of changes in both stock and flow variables. The latter loss function is …