Forecasting multivariate time series under present-value model short- and long-run co-movement restrictions

Osmani Guillén, Alain Hecq, João Issler and Diogo Saraiva

International Journal of Forecasting, 2015, vol. 31, issue 3, 862-875

Abstract: Using a sequence of VAR-based nested multivariate models, we discuss the different layers of restrictions that are imposed on the VAR in levels by present-value models (PVM hereafter) for series that are subject to present-value restrictions. Our focus is novel: we are interested in the short-run restrictions entailed by PVMs (Vahid & Engle, 1993, 1997) and their implications for forecasting.

Keywords: Forecasting; Multivariate models; Vector autoregression (VAR); Present-value restrictions; Common cycles; Cointegration; Interest rates; Prices and dividends (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (5)

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Related works:
Working Paper: Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions (2015)
Working Paper: Forecasting Multivariate Time Series under Present-Value-Model Short- and Long-run Co-movement Restrictions (2014)
Working Paper: Forecasting multivariate time series under present-value-model short- and long-run co-movement restrictions (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfor:v:31:y:2015:i:3:p:862-875

DOI: 10.1016/j.ijforecast.2015.02.002

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