Co‐integration, error correction and improved medium‐term regional VAR forecasting

Journal of Forecasting

Volumn 11, Issue 2, 1992, Pages 91-109

  Shoesmith, Gary L ^a  

^a WAKE FOREST UNIVERSITY   (United States)

Author keywords

Bayesian vector autoregression; Co integration; Error correction; Regional forecasting; Vector autoregression

Indexed keywords

EID: 84979406566     PISSN: 02776693     EISSN: 1099131X     Source Type: Journal    
DOI: 10.1002/for.3980110202     Document Type: Article

References (30)

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4. Interpreting cointegrated models
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6. Distribution of the estimators for autoregressive time series with a unit root
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8. Forecasting and conditional projection using realistic prior distributions
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10. Co‐integration and error correction: representation, estimation and testing
11. Some properties of time series data and their use in econometric model specification
12. Developments in the study of cointegrated economic variables
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15. Statistical analysis of cointegration vectors
16. A VAR forecasting model of a regional economy: its construction and comparative accuracy
17. Forecasting with Bayesian vector autoregressions‐five years of experience
18. The forecasting accuracy of regional Bayesian VAR models with alternative national variable choices
19. Asymptotic properties of least squares estimators of cointegrating vectors
20. Common trends, the government budget constraint, and revenue smoothing