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http://hdl.handle.net/10419/18137
  

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dc.contributor.authorEngsted, Tomen_US
dc.contributor.authorSiliverstovs, Borissen_US
dc.contributor.authorHaldrup, Nielsen_US
dc.date.accessioned2009-01-28T15:39:37Z-
dc.date.available2009-01-28T15:39:37Z-
dc.date.issued2003en_US
dc.identifier.urihttp://hdl.handle.net/10419/18137-
dc.description.abstractWe extend the analysis of Christoffersen and Diebold (1998) on long-run forecasting in cointegrated systems to multicointegrated systems. For the forecast evaluation we consider several loss functions, each of which has a particular interpretation in the context of stock-flow models where multicointegration typically occurs. A loss function based on a standard mean square forecast error (MSFE) criterion focuses on the forecast errors of the flow variables alone. Likewise, a loss function based on the triangular representation of cointegrated systems (suggested by Christoffersen and Diebold) considers forecast errors associated with changes in both stock (modelled through the cointegrating restrictions) and flow variables. We suggest a new loss function which is based on the triangular representation of multicointegrated systems which further penalizes deviations from the long-run relationship between the levels of stock and flow variables as well as changes in the flow variables. Among other things, we show that if one is concerned with all possible long-run relations between stock and flow variables, this new loss function entails high and increasing forecasting gains compared to both the standard MSFE criterion and Christoffersen and Diebold?s criterion. The paper demonstrates the importance of carefully selecting loss functions in forecast evaluation of models involving stock and flow variables.en_US
dc.language.isoengen_US
dc.publisherDeutsches Institut für Wirtschaftsforschung (DIW) Berlinen_US
dc.relation.ispartofseriesDIW-Diskussionspapiere 381en_US
dc.subject.jelC32en_US
dc.subject.jelC53en_US
dc.subject.ddc330en_US
dc.subject.keywordMulticointegrationen_US
dc.subject.keywordForecastingen_US
dc.subject.keywordLoss functionen_US
dc.subject.keywordVAR modelsen_US
dc.subject.stwKointegrationen_US
dc.subject.stwMultivariate Analyseen_US
dc.subject.stwPrognoseen_US
dc.subject.stwVAR-Modellen_US
dc.subject.stwTheorieen_US
dc.titleLong-run forecasting in multicointegrated systemsen_US
dc.typeWorking Paperen_US
dc.identifier.ppn38167990Xen_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
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DIW-Diskussionspapiere

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