Cointegration and Long-Horizon Forecasting (2025)

www.philadelphiafed.org

Cointegration and Long-Horizon Forecasting (2025)

www.philadelphiafed.org

RSS BotMB to Hacker NewsEnglish · 2 months ago

Cointegration and Long-Horizon Forecasting

www.philadelphiafed.org

WP 97-14 – It is widely believed that imposing cointegration on a forecasting system, if cointegration is, in fact, present, will improve long-horizon forecasts.

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