Cointegration and Long-Horizon Forecasting
收藏NBER1997-10-01 更新2025-01-04 收录
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https://www.nber.org/papers/t0217
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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
