Forecasting and testing in co-integrated systems
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Publication:1105971
DOI10.1016/0304-4076(87)90085-6zbMath0649.62108OpenAlexW2080840193MaRDI QIDQ1105971
Robert F. Engle, Byung Sam Yoo
Publication date: 1987
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4076(87)90085-6
predictionsimulation studylinear combination of forecastsco-integrated systemfinite limiting forecast error variancemultistep forecast accuracy of unrestricted vector autoregressiontesting for cointegrationtwo-step estimation of the vector autoregression
Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)
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