| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/t0217 |
| 来源ID | Technical Working Paper 0217 |
| Cointegration and Long-Horizon Forecasting | |
| Peter F. Christoffersen; Francis X. Diebold | |
| 发表日期 | 1997-10-01 |
| 出版年 | 1997 |
| 语种 | 英语 |
| 摘要 | 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 results highlight a potentially important deficiency of standard forecast accuracy" measures they fail to value the maintenance of cointegrating relationships among" variables and we suggest alternatives that explicitly do so. |
| 主题 | Econometrics ; Estimation Methods |
| URL | https://www.nber.org/papers/t0217 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/563716 |
| 推荐引用方式 GB/T 7714 | Peter F. Christoffersen,Francis X. Diebold. Cointegration and Long-Horizon Forecasting. 1997. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| t0217.pdf（856KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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