Cointegration and Long-Horizon Forecasting

Peter Christoffersen and Francis Diebold

Journal of Business & Economic Statistics, 1998, vol. 16, issue 4, 450-58

Abstract: The authors consider the forecasting of cointegrated variables and they show that, at long horizons, nothing is lost by ignoring cointegration when forecasts are evaluated using standard multivariate forecast accuracy measures. In fact, simple univariate Box-Jenkins forecasts are just as accurate. The authors' results highlight a potentially important deficiency of standard forecast accuracy measures--they fail to value the maintenance of cointegrating relationships among variables--and the authors suggest alternatives that explicitly do so.

Date: 1998
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Related works:
Working Paper: Cointegration and long-horizon forecasting (1997)
Working Paper: Cointegration and Long-Horizon Forecasting (1997)
Working Paper: Cointegration and Long-Horizon Forecasting (1997)
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