Cointegration and Long-Horizon Forecasting
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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
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美国国家经济研究局创建时间：
1997-10-01
