A note on forecasting in co-integrated systems

DOI10.1016/0898-1221(93)90226-LzbMath0757.62057MaRDI QIDQ1203716

Marcus J. Chambers

Publication date: 22 February 1993

Published in: Computers \& Mathematics with Applications (Search for Journal in Brave)

zbMATH Keywords

Monte Carlo simulationvector autoregressionnonlinear least squares estimatorforecasting performancecointegrated systemEngle- Granger two-step estimatorerror correction representationVAR in first differencesVAR in levels

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Monte Carlo methods (65C05)

Cites Work

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• Forecasting and testing in co-integrated systems
• Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
• Co-Integration and Error Correction: Representation, Estimation, and Testing

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