VAR, error correction and pre-test forecasts at long horizons

Oxford Bulletin of Economics and Statistics

Volumn 58, Issue 4, 1996, Pages 685-701

  Stock, James H ^a  

^a HARVARD UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 17644393590     PISSN: 03059049     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1468-0084.1996.mp58004006.x     Document Type: Article

References (20)

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2. Cavanagh, C. L. (1985). 'Roots Local to Unity', manuscript, Department of Economics, Harvard University.
3. Cavanagh, C. L., Elliott, G. and Stock, J. H. (1995). 'Inference in Models with Nearly Integrated Regressors', Econometric Theory, Vol. 11, pp. 1131-47.
4. Chan, N. H. and Wei, C. Z. (1987). 'Asymptotic Inference for Nearly Nonstationary AR(1) Processes', Annals of Statistics, Vol. 15, pp. 1050-63.
5. Dickey, D. A. and Fuller, W. A. (1979). 'Distribution of the Estimators for Autoregressive Time Series with a Unit Root', Journal of the American Statistical Association, Vol. 74, pp. 427-31.
6. Elliott, G. (1994). Application of Local to Unity Asymptotic Theory to Time Series Regression, unpublished PhD dissertation, Department of Economics, Harvard University.
7. Elliot, G., Rothenberg, T. J. and Stock, J. H. (1996). 'Efficient Tests for an Autoregressive Unit Root', Econometrica, Vol. 64, pp. 813-36.
8. Elliott, G. and Stock, J. H. (1994). 'Inference in Time Series Regression When the Order of Integration of a Regressor is Unknown', Econometric Theory, Vol. 10, pp. 672-700.
9. Johnansen, S. (1988). 'Statistical Analysis of Cointegrating Vectors', Journal of Economic Dynamics and Control, Vol. 12, pp. 231-54.
10. Magnus, J. R. and Pesaran, B. (1991). 'The Bias of Forecasts from a First-Order Autoregression', Econometric Theory, Vol. 7, pp. 222-35.
11. 2 Emission Limits, MIT Press, Cambridge, Mass.
12. Nordhaus, W. D. and Yang, Z. (1995). 'RICE: A Regional Dynamic General Equilibrium Model of Optimal Climate-Change Policy', manuscript, Department of Economics, Yale University.
13. Phillips, P. C. B. (1979). 'The Sampling Distribution of Forecasts from a First-Order Autoregression', Journal of Econometrics, Vol. 9, pp. 241-61.
14. Phillips, P. C. B. (1987). 'Towards a Unified Asymptotic Theory for Autoregression', Biometrika, Vol. 74, pp. 535-47.
15. Phillips, P. C. B. (1995). 'Impulse Response and Forecast Error Variance Asymptotics in Nonstationary VAR's', manuscript, Cowles Foundation for Research in Economics, Yale University.
16. Sims, C. A., Stock, J. H. and Watson, M. W. (1990). 'Inference in Linear Time Series Models with Some Unit Roots', Econometrica, Vol. 58, pp. 113-44.
17. Stock, J. H. (1991). 'Confidence Intervals for the Largest Autoregressive Root in U.S. Economic Time Series', Journal of Monetary Economics, Vol. 28, pp. 435-60.
18. Stock, J. H. (1994). 'Unit Roots, Structural Breaks, and Trends', ch. 46 in Engle, R. and McFadden, D. (eds.), Handbook of Econometrics, Volume IV, Elsevier, Amsterdam.
19. Stock, J. H. (1995). 'Cointegration, Long-Run Comovements, and Long-Horizon Forecasting', forthcoming in Kreps, D. and Wallis, K. F. (eds.), Advances in Econometrics: Proceedings of the Seventh World Congress of the Econometric Society, Cambridge University Press, Cambridge.
20. Stock, J. H. and Watson, J. W. (1993). 'A Simple Estimator of Cointegrating Vectors in Higher-Order Integrated Systems', Econometrica, Vol. 61, pp. 783-820.