Assessing forecast performance in a cointegrated system

Journal of Applied Econometrics

Volumn 11, Issue 5, 1996, Pages 495-517

  Hoffman, Dennis L ^a  

^a ARIZONA STATE UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 21444459626     PISSN: 08837252     EISSN: None     Source Type: Journal    
DOI: 10.1002/(SICI)1099-1255(199609)11:5<495::AID-JAE407>3.0.CO;2-D     Document Type: Article

References (8)

1. Baba, Y., D. F. Hendry and R. M. Starr (1992), "The demand for M1 in the U.S.A.', Review of Economic Studies, 59, No. 1, 25-61.
2. Clements, M. P. and D. F. Hendry (1993), 'On the limitations of comparing mean square forecast errors', Journal of Forecasting, 617-637.
3. Clements, M. P. and D. F. Hendry (1995), 'Forecasting in cointegrated systems', Journal of Applied Econometrics, 10, 127-146.
4. Crowder, W. and D. L. Hoffman (1996), 'The long-ran relationship between nominal interest rates and the rate of inflation: the Fisher equation revisited', Journal of Money Credit and Banking, 28, 102-118.
5. Engle, R. F. and C. W. J. Granger (1987), 'Co-Integration and error correction: Representation, estimation and testing', Econometrica, 55, 251-276.
6. Rasche, R. H. (1987), 'M1-velocity and money demand functions:do stable relationships exist?' Carnegie Rochester Conference Series on Public Policy, 27, 9-88.
7. Stock, J. H. and M. W. Watson (1992), 'A procedure for predicting recessions with leading indicators: econometric issues and recent performance', Working Paper No. 7, Research Department, Federal Reserve Bank of Chicago.
8. Stock, J. H. and M. W. Watson (1993), 'A Simple estimator of cointegrating vectors in higher order integrated systems', Econometrica, 61, 783-820.