This paper re-examines the relationship between financial variables and real activity in a unified statistical framework. Using the methods of cointegration and separation. we characterize the long-run and short-run relationships between three sets of variables and then use the framework to...

The cost functions used to form forecasts in practice may be quite different than the squared costs that is often assumed in forecast theory. The impact on evaluation procedures is determined and simple properties for the derivate of the cost function of the errors are found to provide simple...

When forecasts of the future value of some variable, or the probability of some event, are used for purposes of ex ante planning or decision making, then the preferences, opportunities and constraints of the decision maker will all enter into the ex post evaluation of a forecast, and the ex post...

A spurious regression occurs when a pair of independent series, but with strong temporal properties, are found apparently to be related according to standard inference in an OLS regression. Although this is well known to occur with pairs of independent unit root processes, this paper finds...