Predictive ability with cointegrated variables

DOI10.1016/S0304-4076(01)00086-0MaRDI QIDQ5952956zbMATH OpenOpenAlexFDO

Authors Valentina Corradi, Norman R. Swanson, Claudia Olivetti

Publication date 2001

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0304-4076(01)00086-0

zbMATH Keywords

ForecastingCointegrationAlmost sure convergenceParameter estimation error

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

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Cites work

• scientific article; zbMATH DE number 88842 (Why is no real title available?)
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• Predictive ability with cointegrated variables
• Robust out-of-sample inference
• Testing structural stability with endogenous breakpoint. A size comparison of analytic and bootstrap procedures
• Tests of equal forecast accuracy and encompassing for nested models
• The Stationary Bootstrap

Cited in

(16)

• On the selection of forecasting models
• Bootstrap conditional distribution tests in the presence of dynamic misspecification
• Robust out-of-sample inference
• Consistent ranking of volatility models
• Tests of equal forecast accuracy and encompassing for nested models
• Evaluating Direct Multistep Forecasts
• Interval forecasting in cointegrated systems
• A consistent test for nonlinear out of sample predictive accuracy.
• Tests of Equal Forecasting Accuracy for Nested Models with Estimated CCE Factors*
• Statistical tests for multiple forecast comparison
• Do long-run theory restrictions help in forecasting?
• Asymptotics for out of sample tests of Granger causality
• A note on forecasting in co-integrated systems
• An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series
• Predictive ability with cointegrated variables
• In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?

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