%0 Journal Article %1 Engle1987143 %A Engle, Robert F. %A Yoo, Byung Sam %D 1987 %J Journal of Econometrics %K cointegration correction econometrics error root unit vector %N 1 %P 143 - 159 %R 10.1016/0304-4076(87)90085-6 %T Forecasting and testing in co-integrated systems %U http://www.sciencedirect.com/science/article/pii/0304407687900856 %V 35 %X This paper examines the behavior of forecasts made from a co-integrated system as introduced by Granger (1981), Granger and Weiss (1983) and Engle and Granger (1987). It is established that a multi-step forecast will satisfy the co-integrating relation exactly and that this particular linear combination of forecasts will have a finite limiting forecast error variance. A simulation study compares the multi-step forecast accuracy of unrestricted vector autoregression with the two-step estimation of the vector autoregression imposing the co-integration restriction. To test whether a system exhibits co-integration, the procedures introduced in Engle and Granger (1987) are extended to allow different sample sizes and numbers of variables.

@article{Engle1987143, abstract = {This paper examines the behavior of forecasts made from a co-integrated system as introduced by Granger (1981), Granger and Weiss (1983) and Engle and Granger (1987). It is established that a multi-step forecast will satisfy the co-integrating relation exactly and that this particular linear combination of forecasts will have a finite limiting forecast error variance. A simulation study compares the multi-step forecast accuracy of unrestricted vector autoregression with the two-step estimation of the vector autoregression imposing the co-integration restriction. To test whether a system exhibits co-integration, the procedures introduced in Engle and Granger (1987) are extended to allow different sample sizes and numbers of variables.}, added-at = {2013-03-12T06:47:19.000+0100}, author = {Engle, Robert F. and Yoo, Byung Sam}, biburl = {https://www.bibsonomy.org/bibtex/2dfa1900a4d003bb1fbb9ef3d008afcb3/jp}, description = {ScienceDirect.com - Journal of Econometrics - Forecasting and testing in co-integrated systems}, doi = {10.1016/0304-4076(87)90085-6}, interhash = {693e109bb4306c4da67470eef87f7282}, intrahash = {dfa1900a4d003bb1fbb9ef3d008afcb3}, issn = {0304-4076}, journal = {Journal of Econometrics}, keywords = {cointegration correction econometrics error root unit vector}, number = 1, pages = {143 - 159}, timestamp = {2013-03-12T06:47:19.000+0100}, title = {Forecasting and testing in co-integrated systems}, url = {http://www.sciencedirect.com/science/article/pii/0304407687900856}, volume = 35, year = 1987 }