Please use this identifier to cite or link to this item: 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 cointegratedsystems 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 multicointegrationtypically 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 basedon the triangular representation of cointegrated systems (suggested by Christoffersen and Diebold)considers forecast errors associated with changes in both stock (modelled through the cointegratingrestrictions) and flow variables. We suggest a new loss function which is based on the triangularrepresentation of multicointegrated systems which further penalizes deviations from the long-run relationshipbetween the levels of stock and flow variables as well as changes in the flow variables. Amongother things, we show that if one is concerned with all possible long-run relations between stock andflow variables, this new loss function entails high and increasing forecasting gains compared to boththe standard MSFE criterion and Christoffersen and Diebold?s criterion. The paper demonstrates theimportance of carefully selecting loss functions in forecast evaluation of models involving stock andflow variables.en_US
dc.language.isoengen_US
dc.publisher|aDeutsches Institut für Wirtschaftsforschung (DIW) |cBerlinen_US
dc.relation.ispartofseries|aDIW Discussion Papers |x381en_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.ppn850995884en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
dc.identifier.repecRePEc:diw:diwwpp:dp381en_US

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