Cointegration, Integration, and Long-Term Forcasting

Hiroaki Chigira and Taku Yamamoto

Hi-Stat Discussion Paper Series from Institute of Economic Research, Hitotsubashi University

Abstract: It is widely believed that taking cointegration and integration into consideration is useful in constructing long-term forecasts for cointegrated processes. This paper shows that imposing neither cointegration nor integration leads to superior long-term forecasts.

Keywords: Forecasting; Cointegration; Integration (search for similar items in EconPapers)
JEL-codes: C12 C32 (search for similar items in EconPapers)
Date: 2006-03
New Economics Papers: this item is included in nep-ecm, nep-ets and nep-for
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