Cointegration and Long-Horizon Forecasting

Peter Christoffersen and Francis Diebold

No 217, NBER Technical Working Papers from National Bureau of Economic Research, Inc

Abstract: We consider the forecasting of cointegrated variables, and we 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. " Our results highlight a potentially important deficiency of standard forecast accuracy" measures they fail to value the maintenance of cointegrating relationships among" variables and we suggest alternatives that explicitly do so.

JEL-codes: C5 (search for similar items in EconPapers)
Date: 1997-10
New Economics Papers: this item is included in nep-ifn
Note: EFG
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Citations: View citations in EconPapers (33)

Published as Journal of Business and Economic Statistics, Vol. 16 (1998): 450-458.

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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)
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