Cointegration and Long-Horizon Forecasting

30 Pages Posted: 25 Jul 2000 Last revised: 7 Aug 2010

See all articles by Peter Christoffersen

Peter Christoffersen

University of Toronto - Rotman School of Management; Copenhagen Business School; Aarhus University - CREATES

Francis X. Diebold

University of Pennsylvania - Department of Economics; National Bureau of Economic Research (NBER)

Multiple version iconThere are 3 versions of this paper

Date Written: October 1997

Abstract

We consider the forecasting of cointegrated variables, and we show that at long horizons" nothing is lost by ignoring cointegration when forecasts are evaluated using standard multivariate" forecast accuracy measures. In fact, simple univariate Box-Jenkins forecasts are just as accurate. " Our results highlight a potentially important deficiency of standard forecast accuracy" measures they fail to value the maintenance of cointegrating relationships among" variables and we suggest alternatives that explicitly do so.

Suggested Citation

Christoffersen, Peter and Diebold, Francis X., Cointegration and Long-Horizon Forecasting (October 1997). NBER Working Paper No. t0217. Available at SSRN: https://ssrn.com/abstract=226625

Peter Christoffersen (Contact Author)

University of Toronto - Rotman School of Management ( email )

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Francis X. Diebold

University of Pennsylvania - Department of Economics ( email )

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