أعرض تسجيلة المادة بشكل مبسط

dc.creator Engsted, Tom
dc.creator Siliverstovs, Boriss
dc.creator Haldrup, Niels
dc.date 2003
dc.date.accessioned 2013-10-16T06:58:26Z
dc.date.available 2013-10-16T06:58:26Z
dc.date.issued 2013-10-16
dc.identifier http://hdl.handle.net/10419/18137
dc.identifier ppn:38167990X
dc.identifier.uri http://koha.mediu.edu.my:8181/xmlui/handle/10419/18137
dc.description We 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.
dc.language eng
dc.publisher Deutsches Institut für Wirtschaftsforschung (DIW) Berlin
dc.relation DIW-Diskussionspapiere 381
dc.rights http://www.econstor.eu/dspace/Nutzungsbedingungen
dc.subject C32
dc.subject C53
dc.subject ddc:330
dc.subject Multicointegration
dc.subject Forecasting
dc.subject Loss function
dc.subject VAR models
dc.subject Kointegration
dc.subject Multivariate Analyse
dc.subject Prognose
dc.subject VAR-Modell
dc.subject Theorie
dc.title Long-run forecasting in multicointegrated systems
dc.type doc-type:workingPaper


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أعرض تسجيلة المادة بشكل مبسط