A note on forecasting in co-integrated systems (Q1203716)
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scientific article; zbMATH DE number 120322
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A note on forecasting in co-integrated systems |
scientific article; zbMATH DE number 120322 |
Statements
A note on forecasting in co-integrated systems (English)
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22 February 1993
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vector autoregression
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forecasting performance
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cointegrated system
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Monte Carlo simulation
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VAR in levels
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VAR in first differences
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Engle- Granger two-step estimator
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nonlinear least squares estimator
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error correction representation
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