Cointegration and long-horizon forecasting

Peter Christoffersen and Francis Diebold

No 97-14, Working Papers from Federal Reserve Bank of Philadelphia

Abstract: It is widely believed that imposing cointegration on a forecasting system, if cointegration is, in fact, present, will improve long-horizon forecasts. The authors show that, contrary to this belief, at long horizons nothing is lost by ignoring cointegration when the 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.

Keywords: Forecasting (search for similar items in EconPapers)
Date: 1997
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

Downloads: (external link)
https://www.philadelphiafed.org/-/media/frbp/asset ... ers/1997/wp97-14.pdf (application/pdf)

Related works:
Journal Article: Cointegration and Long-Horizon Forecasting (1998)
Working Paper: Cointegration and Long-Horizon Forecasting (1997)
Working Paper: Cointegration and Long-Horizon Forecasting (1997)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:fip:fedpwp:97-14

Ordering information: This working paper can be ordered from

Access Statistics for this paper

More papers in Working Papers from Federal Reserve Bank of Philadelphia Contact information at EDIRC.
Bibliographic data for series maintained by Beth Paul ().