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Cointegration, Integration, and Long-Term Forcasting
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| Hiroaki Chigira and Taku Yamamoto
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It is widely believed that taking cointegration and integration into consideration is useful in constructing long-term forecasts for cointegrated processes. This paper shows that imposing neither cointegration nor integration leads to superior long-term forecasts.
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| Copyright (C) 2003 by Institute of Economic
Research.All rights reserved. |
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