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Forecasting multivariate time series under present-value model short- and long-run co-movement restrictions

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  • Guillén, Osmani Teixeira
  • Hecq, Alain
  • Issler, João Victor
  • Saraiva, Diogo

Abstract

Using a sequence of VAR-based nested multivariate models, we discuss the different layers of restrictions that are imposed on the VAR in levels by present-value models (PVM hereafter) for series that are subject to present-value restrictions. Our focus is novel: we are interested in the short-run restrictions entailed by PVMs (Vahid & Engle, 1993, 1997) and their implications for forecasting.

Suggested Citation

  • Guillén, Osmani Teixeira & Hecq, Alain & Issler, João Victor & Saraiva, Diogo, 2015. "Forecasting multivariate time series under present-value model short- and long-run co-movement restrictions," International Journal of Forecasting, Elsevier, vol. 31(3), pages 862-875.
    • Handle: RePEc:eee:intfor:v:31:y:2015:i:3:p:862-875
    DOI: 10.1016/j.ijforecast.2015.02.002
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    Cited by:

    1. Gianluca Cubadda & Alain Hecq, 2021. "Reduced Rank Regression Models in Economics and Finance," CEIS Research Paper 525, Tor Vergata University, CEIS, revised 08 Nov 2021.
    2. Castro, Andressa Monteiro de & Issler, João Victor, 2016. "Consumption-Wealth Ratio and Expected Stock Returns: Evidence from Panel Data on G7 Countries," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 70(4), December.
    3. Gianluca Cubadda & Alain Hecq & Sean Telg, 2019. "Detecting Co‐Movements in Non‐Causal Time Series," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 81(3), pages 697-715, June.
    4. Machado, Vicente da Gama & Portugal, Marcelo Savino, 2014. "Measuring inflation persistence in Brazil using a multivariate model," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 68(2), June.

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