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Cointegration and Long-Horizon Forecasting
16 references·2 citing·35 second hop
Cointegration and Long-Horizon Forecasting (1998)Cointegration and Long-Horizon ForecastingOptimal Prediction Under Asymmetric Loss (1997)Optimal Prediction Under Asym…Interpreting cointegrating vectors and common stochastic trends (1996)Interpreting cointegrating ve…Co-Integration, Error Correction, and the Econometric Analysis of Non- Stationary Data. (1996)Co-Integration, Error Correct…Can we improve the perceived quality of economic forecasts? (1996)Can we improve the perceived …8 Forecast evaluation and combination (1996)8 Forecast evaluation and com…Testing for Cointegration When Some of the Cointegrating Vectors are Prespecified (1995)Testing for Cointegration Whe…Forecasting in cointegrated systems (1995)Forecasting in cointegrated s…Comparing Predictive Accuracy (1994)Comparing Predictive AccuracyVector autoregressions and cointegration (1993)Vector autoregressions and co…On the limitations of comparing mean square forecast errors (1993)On the limitations of compari…VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING (1992)VECTOR AUTOREGRESSIVE MODELS …Optimal Inference in Cointegrated Systems (1991)Optimal Inference in Cointegr…Testing for Common Trends (1988)Testing for Common TrendsForecasting and testing in co-integrated systems (1987)Forecasting and testing in co…Cointegration and Tests of Present Value Models (1987)Cointegration and Tests of Pr…Forecasting Economic Time Series (1979)Forecasting Economic Time Ser…Real Exchange Rates and the Relative Prices of Non-Traded and Traded Goods: An Empirical Analysis (2005)Real Exchange Rates and the R…A BAYESIAN VECTOR ERROR CORRECTIONS MODEL OF THE U.S. ECONOMY (1998)A BAYESIAN VECTOR ERROR CORRE…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)A PANIC Attack on Unit Roots and Cointegration (2004)Analysis of Financial Time Series (2006)Introductory Econometrics for Finance (2008)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Predicting currency crises: (1999)Comparing Density Forecasts via Weighted Likelihood Ratio Tests (2007)Forecasting with panel data (2008)Statistical analysis of cointegration vectors (1988)CO2 emissions, energy consumption, and output in France (2007)The impact of energy consumption, income and foreign direct investment on carbon dioxide emissions in Vietnam (2014)Causal relationship between CO2 emissions, real GDP, energy consumption, financial development, trade openness, and urbanization in Tunisia (2015)Macroeconomics and Reality (1980)Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data (1993)Critical Values for Cointegration Tests (2010)MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)Forecasting economic and financial time-series with non-linear models (2004)Comparing forecast accuracy: A Monte Carlo investigation (2012)Pitfalls and Opportunities: What Macroeconomists Should Know about Unit Roots (1991)FINITE‐SAMPLE SIZES OF JOHANSEN's LIKELIHOOD RATIO TESTS FOR COINTEGRATION (1993)Estimation of Common Long-Memory Components in Cointegrated Systems (1995)One Security, Many Markets: Determining the Contributions to Price Discovery (1995)Does financial development cause economic growth? Time-series evidence from 16 countries (1996)Taking Time Seriously (2008)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Stock Prices, Earnings, and Expected Dividends (1988)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)Generalized autoregressive conditional heteroskedasticity (1986)A long memory property of stock market returns and a new model (1993)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)
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  • 1998A BAYESIAN VECTOR ERROR CORRECTIONS MODEL OF THE U.S. ECONOMY11 cited
  • 2005Real Exchange Rates and the Relative Prices of Non-Traded and Traded Goods: An Empirical Analysis9 cited