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Cointegration, Integration, and Long-Term Forcasting

Author

Listed:
  • Hiroaki Chigira
  • Taku Yamamoto

Abstract

It is widely believed that taking cointegration and integration into consideration is useful in constructing long-term forecasts for cointegrated processes. This paper shows that imposing neither cointegration nor integration leads to superior long-term forecasts.

Suggested Citation

  • Hiroaki Chigira & Taku Yamamoto, 2006. "Cointegration, Integration, and Long-Term Forcasting," Hi-Stat Discussion Paper Series d05-148, Institute of Economic Research, Hitotsubashi University.
    • Handle: RePEc:hst:hstdps:d05-148
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    File URL: http://hi-stat.ier.hit-u.ac.jp/research/discussion/2005/pdf/D05-148.pdf
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    More about this item

    Keywords

    Forecasting; Cointegration; Integration;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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