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Tuesday, August 11, 2020 | History

1 edition of Cointegration and long-horizon forecasting. found in the catalog.

Cointegration and long-horizon forecasting.

Cointegration and long-horizon forecasting.

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Published by International Monetary Fund in Washington, D.C .
Written in English


Edition Notes

Includes bibliographical references.

SeriesIMF working paper -- WP/97/61
ContributionsInternational Monetary Fund.
The Physical Object
Pagination30 p. ;
Number of Pages30
ID Numbers
Open LibraryOL17131905M

  "Analysis of Integrated and Cointegrated Time Series with R (2 nd Edition) offers a rigorous introduction to unit roots and cointegration, along with numerous examples in R to illustrate the various methods. The book, now in its second edition, provides an overview of this active area of research in time series s: 6. About This Book What Does This Book Cover? Starting from basics, this book shows you methods for modeling data taken over time—both univariate and multivariate. From the well-known ARIMA models to unobserved components, this book discusses and illustrates with engaging examples statistical methods that range from simple to complicated.

This article focuses on the forecasting of national GDP measures at long horizons, and argues that demography should be taken into account. It is organized as follows. Section 2 provides a brief discussion of some crucial theoretical issues for forecasting growth. Section 3 discusses the connection between demography and economic growth. The first book by Shumway and Stoffer has an open source (abridged) version available online called EZgreen version. If you are specifically looking into time series forecasting, I would recommend following books: Forecasting Methods and Applications by Makridakis, Wheelwright and Hyndman. I keep referring to this book repeatedly, This is a.

Dynamic factor models are particularly useful with the emergence of long horizon data set. Granger () and Engle and Granger () developed the idea of cointegration. Two series are cointegrated if each contains a stochastic trends, yet (one of) their linear combination does not. The loglinear cointegration model performs better than the log dividend yield model and the log book-to-market model in terms of cross-equation restriction tests and forecasting performance.


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Cointegration and long-horizon forecasting Download PDF EPUB FB2

COVID Resources. Reliable information about the coronavirus (COVID) is available from the World Health Organization (current situation, international travel).Numerous and frequently-updated resource results are available from this ’s WebJunction has pulled together information and resources to assist library staff as they consider how to handle coronavirus.

likely that cointegration could be exploited to improve long-horizon forecasts. Motivated by this apparent paradox, we provide a pre-cise characterization of the implications of cointegration for long-horizon forecasting.

Our work is closely related to important earlier contributions of Clements and Hendry (,) and Banerjee, Dolado, Galbraith, and. Imposing cointegration on a forecasting system, if cointegration is present, is believed to improve long-horizon forecasts.

Contrary to this belief, at long horizons nothing is lost by ignoring cointegration when the forecasts are evaluated using standard multivariate forecast. Cointegration and Long-Horizon Forecasting Peter F. Christoffersen Faculty of Management McGill University, Montreal, Quebec, H3A 1G5, Canada E-mail: [email protected] & Francis X.

Diebold Cointegration and long-horizon forecasting. book of Economics, University of Pennsylvania, Philadelphia, PA, Cited by: 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.

theoretical result that long-horizon forecasts from cointegrated systems satisfy the cointegrating relationships exactly, and the related result that only the cointegrating combinations of the variables can be forecast with finite long-horizon error variance. Moreover, it appears to be supported by a number of independent Monte Carlo analyses.

Cointegration and Long-Horizon Forecasting Peter F. Christoffersen, Francis X. Diebold. NBER Technical Working Paper No. Issued in October NBER Program(s):Economic Fluctuations and Growth 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.

Cointegration and Long-Horizon Forecasting. IMF Working Paper No. 97/61 Number of pages: 30 Posted: 22 Jan Downloads Cointegration and Long-Horizon Forecasting. NYU Working Paper No.

SOR Number of pages: 36 Posted: 31 Oct Downloads Cited by: "Cointegration and Long-Horizon Forecasting," Journal of Business & Economic Statistics, American Statistical Association, vol.

16(4), pagesOctober. Peter F. Christoffersen & Francis X. Diebold, Created Date: 6/1/ PM. Beginners with little background in statistics and econometrics often have a hard time understanding the benefits of having programming skills for learning and applying Econometrics.

‘Introduction to Econometrics with R’ is an interactive companion to the well-received textbook ‘Introduction to Econometrics’ by James H. Stock and Mark W. Watson (). This book is based on an earlier title Using Cointegration Analysis in Econometric Modelling by Richard Harris. As well as updating material covered in the earlier book, there are two major additions involving panel tests for unit roots and cointegration and forecasting of financial time s: 4.

correct, and generalized it to cointegration, and proved the consequences such as the error-correction representation. I do not always agree with the philosopher Karl Popper, but in his book “The Logic of Scientific Discovery,” according to Hacohen (), pagePopper believed the “discovery was.

Please, indicate in your letter to the editor that you are submitting to the 30 Years of Cointegration, Dynamic Factor Models Forecasting and its Future with Big Data, special section. References Box, G.

and G. Tiao (), A canonical analysis of multiple time series, Biometrika, 64, Cointegration and Long-Horizon Forecasting.

SSRN Electronic Journal, CrossRef; Google Scholar; Culver, Sarah E and Papell, David H Long-run purchasing power parity with short-run data: evidence with a null hypothesis of stationarity.

Journal of International Money and Finance, Vol. 18. Cointegration, Causality, and Forecasting: Festschrift in Honour of Clive W. Granger. Edited by Robert Engle and Halbert White.

in OUP Catalogue from Oxford University Press. Abstract: The book is a collection of essays in honour of Clive Granger. The chapters are by some of the world'leading econometricians, all of whom have collaborated with or studied with (or both) Clive Granger.

Autoregressive Distributed Lag (ARDL) cointegration technique or bound cointegrationthis study reviews the issues surrounding the way cointegration techniques are applied, estimated and interpreted within the context of ARDL cointegration framework.

The study shows that the adoption of the. The idea of cointegration is that there is a common stochastic trend, an I(1) process Z, underlying two (or more) processes X and Y.

E.g. Xt = 0 + 1Zt + t Yt = 0 + 1Zt + t t and t are stationary, I(0), with mean 0. They may be serially correlated. Though Xt and Yt are both I(1), there exists a linear combination of them which is stationary: 1Xt. This book is based on an earlier title Using Cointegration Analysis in Econometric Modelling by Richard Harris.

As well as updating material covered in the earlier book, there are two major additions involving panel tests for unit roots and cointegration and forecasting of financial time series. CiteSeerX - Document Details (Isaac Councill, Lee Giles, Pradeep Teregowda):: 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. Cointegration implies that movements in p t − d t must forecast future dividend growth, future returns, or some combination of the two. Notice that this statement is not conditional on the accuracy of the approximation in ().

Instead, it follows on purely statistical grounds from the presumption of cointegration.used VAR approach to model expected returns focuses on short-run forecasts and can considerably miss on long-horizon return dynamics, and hence, the optimal portfolio mix in the presence of cointegration.

We develop and implement methods to account for .Abstract. In this chapter we investigate how the possible presence of unit roots and cointegration affects forecasting with Big Data. As most macroeoconomic time series are very persistent and may contain unit roots, a proper handling of unit roots and cointegration is of paramount importance for macroeconomic forecasting.