Cointegration and Long Horizon Forecasting

Download or Read online Cointegration and Long Horizon Forecasting full in PDF, ePub and kindle. This book written by Mr.Peter F. Christoffersen and published by International Monetary Fund which was released on 01 May 1997 with total pages 30. Read Cointegration and Long Horizon Forecasting Book directly on your devices, fast download and no annoying ads.

Cointegration and Long Horizon Forecasting
Author :
Publisher : International Monetary Fund
Release Date :
ISBN : 9781451848137
Pages : 30 pages
Rating : /5 ( users)
DOWNLOAD BOOK

Download or Read Online Cointegration and Long Horizon Forecasting in PDF, Epub and Kindle

Imposing cointegration on a forecasting system, if cointegration is present, is believed to improve long-horizon forecasts. Contrary to this belief, at long horizons nothing is lost by ignoring cointegration when the 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.

Cointegration and Long Horizon Forecasting

Imposing cointegration on a forecasting system, if cointegration is present, is believed to improve long-horizon forecasts. Contrary to this belief, at long horizons nothing is lost by ignoring cointegration when the forecasts are evaluated using standard multivariate forecast accuracy measures. In fact, simple univariate Box-Jenkins forecasts are just as accurate.

DOWNLOAD BOOK
Cointegration and Long Horizon Forecasting

Imposing cointegration on a forecasting system, if cointegration is present, is believed to improve long-horizon forecasts. Contrary to this belief, at long horizons nothing is lost by ignoring cointegration when the forecasts are evaluated using standard multivariate forecast accuracy measures. In fact, simple univariate Box-Jenkins forecasts are just as accurate.

DOWNLOAD BOOK
Cointegration and Long Horizon Forecasting

Imposing cointegration on a forecasting system, if cointegration is present, is believed to improve long-horizon forecasts. Contrary to this belief, at long horizons nothing is lost by ignoring cointegration when the forecasts are evaluated using standard mutivariate forecast accuracy measures. In fact, simple univariate Box-Jenkins forecasts are just as accurate.

DOWNLOAD BOOK
  ditions des Cahiers libres

Download or read online ditions des Cahiers libres written by Anonim, published by Unknown which was released on 1928. Get ditions des Cahiers libres Books now! Available in PDF, ePub and Kindle.

DOWNLOAD BOOK
Handbook of Economic Forecasting

Research on forecasting methods has made important progress over recent years and these developments are brought together in the Handbook of Economic Forecasting. The handbook covers developments in how forecasts are constructed based on multivariate time-series models, dynamic factor models, nonlinear models and combination methods. The handbook also includes chapters

DOWNLOAD BOOK
The Oxford Handbook of Economic Forecasting

Greater data availability has been coupled with developments in statistical theory and economic theory to allow more elaborate and complicated models to be entertained. These include factor models, DSGE models, restricted vector autoregressions, and non-linear models.

DOWNLOAD BOOK
Estimation of Stochastic Processes with Stationary Increments and Cointegrated Sequences

Estimation of Stochastic Processes is intended for researchers in the field of econometrics, financial mathematics, statistics or signal processing. This book gives a deep understanding of spectral theory and estimation techniques for stochastic processes with stationary increments. It focuses on the estimation of functionals of unobserved values for stochastic processes

DOWNLOAD BOOK
Integration  Cointegration and the Forecast Consistency of Structural Exchange Rate Models

Exchange rate forecasts are generated using some popular monetary models of exchange rates in conjunction with several estimation techniques. We propose an alternative set of criteria for evaluating forecast rationality which entails the following requirements: the forecast and the actual series i) have the same order of integration, ii) are

DOWNLOAD BOOK
IMF Working Paper

Download or read online IMF Working Paper written by Anonim, published by Unknown which was released on 1997. Get IMF Working Paper Books now! Available in PDF, ePub and Kindle.

DOWNLOAD BOOK
Exchange Rate Economics

Discussions of the different theoretical and empirical paradigms for setting andpredicting exchange rates.

DOWNLOAD BOOK
Economic Forecasting

Economic forecasting involves choosing simple yet robust models to best approximate highly complex and evolving data-generating processes. This poses unique challenges for researchers in a host of practical forecasting situations, from forecasting budget deficits and assessing financial risk to predicting inflation and stock market returns. Economic Forecasting presents a comprehensive,

DOWNLOAD BOOK
Elements of Financial Risk Management

The Second Edition of this best-selling book expands its advanced approach to financial risk models by covering market, credit, and integrated risk. With new data that cover the recent financial crisis, it combines Excel-based empirical exercises at the end of each chapter with online exercises so readers can use their

DOWNLOAD BOOK
Unit Roots  Cointegration  and Structural Change

A comprehensive review of unit roots, cointegration and structural change from a best-selling author.

DOWNLOAD BOOK
Advances in Economics and Econometrics  Theory and Applications

This book is the third of three volumes containing papers presented at the Seventh World Congress of the Econometric Society. The papers summarize and interpret key recent developments and discuss current and future directions in a wide range of topics in economics and econometrics. They cover both theory and applications.

DOWNLOAD BOOK
Econometric Studies

Download or read online Econometric Studies written by Joachim Frohn, published by LIT Verlag Münster which was released on 2001. Get Econometric Studies Books now! Available in PDF, ePub and Kindle.

DOWNLOAD BOOK