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Estimation of Common Long-Memory Components in Cointegrated Systems

✍ Scribed by Jesus Gonzalo and Clive Granger


Book ID
118021986
Publisher
American Statistical Association
Year
1995
Tongue
English
Weight
403 KB
Volume
13
Category
Article
ISSN
0735-0015

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## ABSTRACT This paper concerns Long‐term forecasts for cointegrated processes. First, it considers the case where the parameters of the model are known. The paper analytically shows that neither cointegration nor integration constraint matters in Long‐term forecasts. It is an alternative implicati