Predictive ability with cointegrated variables

DOI10.1016/S0304-4076(01)00086-0zbMATH Open1066.62544OpenAlexW2128409250MaRDI QIDQ5952956FDOQ5952956

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

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zbMATH Keywords

ForecastingCointegrationAlmost sure convergenceParameter estimation error

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• A maximal inequality and dependent strong laws
• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• The Stationary Bootstrap
• Error Bands for Impulse Responses
• Bayesian and non-Bayesian methods for combining models and forecasts with applications to forecasting international growth rates
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• Asymptotics for out of sample tests of Granger causality
• A Reality Check for Data Snooping
• Asymptotic Inference about Predictive Ability
• Predictive ability with cointegrated variables
• Prediction with a Generalized Cost of Error Function
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• Bayesian model selection and prediction with empirical applications
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• Out-of-sample tests for Granger causality
• Asymptotic Normality, When Regressors Have a Unit Root
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• Distribution function inequalities for martingales
• Modelling Nonlinear Relationships between Extended-Memory Variables
• A Bayesian approach to dynamic macroeconomics
• Pitfalls in testing for long run relationships
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• Five alternative methods of estimating long-run equilibrium relationships
• Forecasting with difference-stationary and trend-stationary models

Cited In (16)

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

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