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Assessing forecast performance in a cointegrated system

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
1988Statistical analysis of cointegration vectors17,038 cited
1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis7,685 cited
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1992A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics12,570 cited
1987Forecasting and testing in co-integrated systems1,896 cited
1992Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK1,659 cited
1992Cointegration in partial systems and the efficiency of single-equation analysis982 cited
1991Is the Fisher Effect for Real? A Reexamination of the Relationship Between Inflation and Interest Rates438 cited
1992Is the Fisher effect for real?423 cited
1993On the limitations of comparing mean square forecast errors392 cited
1993Business Cycles, Indicators, and Forecasting364 cited
1992The Demand for M1 in the U.S.A., 1960-1988320 cited

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1996

The Long-Run Relationship between Nominal Interest Rates and Inflation: The Fisher Equation Revisited

311 cited

1995Forecasting in cointegrated systems279 cited

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