Modeling and Forecasting Cointegrated Variables: Some Practical Experience

Author:

Duy Timothy A.,Thoma Mark A.

Publisher

Elsevier BV

Subject

Economics and Econometrics,General Business, Management and Accounting

Reference23 articles.

1. Ayanian, R. Sept. 1983. Expectations, taxes and interest: The search for the Darby effect. American Economic Review 73(4): 762–765.

2. Bernanke, B. S., and Blinder, A. S. Sept. 1992. The federal funds rate and the channels of monetary transition. American Economic Review 82(4):901–921.

3. Chong, Y. Y., and Hendry, D. F. Aug. 1986. Econometric evaluation of linear macro-economic models. Review of Economic Studies 53(4):671–690.

4. Clements, M. P., and Hendry, D. F. Dec. 1993. On the limitations of comparing mean square forecast errors. Journal of Forecasting 12(8):617–637.

5. Clements, M. P., and Hendry, D. F. April–June 1995. Forecasting in cointegrated systems. Journal of Applied Econometrics 10(2):127–146.

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