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dc.contributor.authorEngsted, Tomen
dc.contributor.authorSiliverstovs, Borissen
dc.contributor.authorHaldrup, Nielsen
dc.date.accessioned2009-01-28T15:39:37Z-
dc.date.available2009-01-28T15:39:37Z-
dc.date.issued2003-
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
dc.language.isoengen
dc.publisher|aDeutsches Institut für Wirtschaftsforschung (DIW) |cBerlinen
dc.relation.ispartofseries|aDIW Discussion Papers |x381en
dc.subject.jelC32en
dc.subject.jelC53en
dc.subject.ddc330en
dc.subject.keywordMulticointegrationen
dc.subject.keywordForecastingen
dc.subject.keywordLoss functionen
dc.subject.keywordVAR modelsen
dc.subject.stwKointegrationen
dc.subject.stwMultivariate Analyseen
dc.subject.stwPrognoseen
dc.subject.stwVAR-Modellen
dc.subject.stwTheorieen
dc.titleLong-run forecasting in multicointegrated systems-
dc.typeWorking Paperen
dc.identifier.ppn850995884en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen
dc.identifier.repecRePEc:diw:diwwpp:dp381en

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