[1] Allen, P.G. and R. Fildes (2005), “Levels, differences and ECMs – principles for improved econometric forecasting,†Oxford Bulletin of Economics and Statistics, vol. 67, pp.881-904;
[10] Duy, T. and M. Thoma (1998), “Modelling and forecasting co-integrated variables: some practical experience,†Journal of Economics and Business, vol. 50, pp. 291-307;
[11] Eitrheim, Q, T. Husebo and R. Nymoen (1998), “Equilibrium-correction vs. differencing in macroeconometric forecasting,†Economic Modelling, vol. 16, pp. 515-544;
[12] Engle, R. and B. Yoo (1987), “Forecasting and testing in co-integrated systems,†Journal of Econometrics, vol. 35, pp. 143-159;
[14] Granger, C. (1996), “Can we improve the perceived quality of economic forecasts,†Journal of Applied Econometrics, vol. 11, pp. 455-473;
[15] Granger, C. and P. Newbold (1974), “Spurious regressions in econometrics,†Journal of Econometrics, vol. 2, pp. 111-120.
[16] Guo, Z. (2017a) “Empirical performance of GARCH models with heavy-tailed innovations,†working paper.
- [17] Guo, Z. (2017b) “How information is transmitted across the nations? An empirical investigation of the US and Chinese commodity markets,†Global Journal of Management and Business Research, vol. 17, pp. 1-11.
Paper not yet in RePEc: Add citation now
- [18] Hamilton, J. (1994), Time series analysis, Princeton University Press.
Paper not yet in RePEc: Add citation now
[19] Hoffman, D. and R. Rasche (1996), “Assessing forecast performance in a co-integrated system,†Journal of Applied Econometrics, vol. 11, pp. 495-517;
- [2] Anand, A. and J. Schonert (2015), “Developing robust PPNR estimates,†McKinsey & Company, working paper;
Paper not yet in RePEc: Add citation now
- [20] Hughes, T. and B. Poi (2016), “Improved deposit modeling: using Moody’s Analytics forecasts of bank financial statements to augment internal data,†Moody’s Analytics, working paper;
Paper not yet in RePEc: Add citation now
[21] Iqbal, J. (2011), “Forecasting performance of alternative error correction models,†University Library of Munich, working paper;
- [22] Johansen, S. (2000), “Co-integration, overview and development,†Handbook of Financial Time Series, Springer Berlin Heidelberg, pp. 671-693;
Paper not yet in RePEc: Add citation now
- [23] Keele, L. and S. De Boef (2004), “Not just for cointegration: error correction models with stationary data,†Oxford University, working paper;
Paper not yet in RePEc: Add citation now
[24] Lin, J. and R. Tsay (1996), “Co-Integration constraints and forecasting: an empirical examination,†Journal of Applied Econometrics, vol. 11, pp. 519-538;
[25] Mackinnon, J. (1990), “Critical values for co-integration tests,†Queen’s University, working paper.
[26] Phillips, P. (1986), “Understanding spurious regressions in econometrics,†Journal of Econometrics, vol. 33, pp.311-340.
[27] Phillips, P. and M. Loretan (1991), “Estimating long-run economic equilibria,†Review of Economic Studies, vol. 58, pp. 407-436;
[28] Reinsel, G. and S. Ahn (1992), “Vector autoregressive models with unit roots and reduced rank structure: estimation, likelihood ratio test, and forecasting,†Journal of Time Series Analysis, vol. 13, pp. 353-375;
- [29] Shintani, M. and Z. Guo (2016), “Improving the finite sample performance of autoregression estimators in dynamic factor models: a bootstrap approach,†Econometric Reviews, forthcoming;
Paper not yet in RePEc: Add citation now
[3] Anderson, R., D. Hoffman and R. Rasche (2002), “A vector error-correction forecasting model of the US economy,†Journal of Macroeconomics, vol. 24, pp. 569-598;
- [30] Stock, J. (1995), “Point forecasts and prediction intervals for long horizon forecasts,†J.F.K. School of Government, Harvard University, working paper.
Paper not yet in RePEc: Add citation now
- [31] Yule, G.U. (1926), “Why do we sometimes get nonsense-correlations between time-series? a study in sampling and the nature of time-series,†Journal of the Royal Statistical Society, vol. 89, pp. 1-63. View publication stats View publication stats
Paper not yet in RePEc: Add citation now
- [5] Chambers, M. (1993), “A note on forecasting in co-integrated systems,†Computers Mathematical Applications, vol. 25, pp. 93-99;
Paper not yet in RePEc: Add citation now
[6] Christoffersen, P. and F. Diebold (1998), “Co-integration and long-horizon forecasting,†Journal of Business and Economic Statistics, vol. 16, pp.450-458;
- [7] Clements, M. and D. Henry (1993), “On the limitations of comparing mean square forecast errors,†Journal of Forecasting, vol. 12, pp. 617-637;
Paper not yet in RePEc: Add citation now
- [8] Clements, M. and D. Henry (1995), “Forecasting in co-integrated systems,†Journal of Applied Econometrics, vol. 10, pp.127-146;
Paper not yet in RePEc: Add citation now
- [9] Dolado, J., J. Gonzalo and F. Marmol (2007), “Co-integration - a companion to theoretical econometrics,†Chapter 30,A Companion to Theoretical Econometrics, Wiley-Blackwell Press;
Paper not yet in RePEc: Add citation now