Forecasting and testing in co-integrated systems

DOI10.1016/0304-4076(87)90085-6zbMath0649.62108OpenAlexW2080840193MaRDI QIDQ1105971

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

zbMATH Keywords

prediction simulation study linear combination of forecasts co-integrated system finite limiting forecast error variance multistep forecast accuracy of unrestricted vector autoregression testing for cointegration two-step estimation of the vector autoregression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)

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