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:: دوره 7، شماره 1 - ( پاییز 1391 ) ::
جلد 7 شماره 1 صفحات 87-118 برگشت به فهرست نسخه ها
Implications of Cointegration for Forecasting: A Review and an Empirical Analysis
چکیده:   (2224 مشاهده)

Cointegration has different theoretical implications for forecasting. Several empirical studies have compared the out of sample forecasting performance of cointegrted VECMs against unrestricted VARs in levels and in differences. The results of these studies have been generally mixed and inconclusive. This paper provides a comprehensive review over the subject, and also examines the effects of cointegration rank restrictions on forecasting performance of VAR models through conducting an empirical exercise in the framework of a new two-country (Canada-US) model. The results show that a VAR/DVAR model forecasts as well as the best cointegrated VAR model (and  even better). Therefore, it seems that using cointegration techniques does not pay a dividend.

JEL Classifications: C32, C51, C53

     
نوع مطالعه: پژوهشي | موضوع مقاله: اقتصاد پولی
دریافت: ۱۳۹۳/۲/۹ | پذیرش: ۱۳۹۳/۲/۹ | انتشار: ۱۳۹۳/۲/۹
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Barakchian S M. Implications of Cointegration for Forecasting: A Review and an Empirical Analysis. J. Mon. Ec.. 2012; 7 (1) :87-118
URL: http://jme.mbri.ac.ir/article-1-58-fa.html

Implications of Cointegration for Forecasting: A Review and an Empirical Analysis. پول و اقتصاد. 1391; 7 (1) :87-118

URL: http://jme.mbri.ac.ir/article-1-58-fa.html



دوره 7، شماره 1 - ( پاییز 1391 ) برگشت به فهرست نسخه ها
Journal of Money and Economy Journal of Money And Economy
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