Multiple cointegrating vectors, error correction, and forecasting with Litterman's model
- 1 December 1995
- journal article
- Published by Elsevier in International Journal of Forecasting
- Vol. 11 (4) , 557-567
- https://doi.org/10.1016/0169-2070(95)00613-3
Abstract
No abstract availableKeywords
This publication has 18 references indexed in Scilit:
- Five alternative methods of estimating long-run equilibrium relationshipsJournal of Econometrics, 1994
- A Comparison of the Forecasting Ability of ECM and VAR ModelsThe Review of Economics and Statistics, 1990
- FORECASTING METROPOLITAN EMPLOYMENT USING AN EXPORT‐BASE ERROR‐CORBECTION MODELJournal of Regional Science, 1990
- The sensitivity of VAR forecasts to alternative lag structuresInternational Journal of Forecasting, 1989
- Statistical analysis of cointegration vectorsJournal of Economic Dynamics and Control, 1988
- Forecasting and testing in co-integrated systemsJournal of Econometrics, 1987
- Co-Integration and Error Correction: Representation, Estimation, and TestingEconometrica, 1987
- DEVELOPMENTS IN THE STUDY OF COINTEGRATED ECONOMIC VARIABLESOxford Bulletin of Economics and Statistics, 1986
- Likelihood Ratio Statistics for Autoregressive Time Series with a Unit RootEconometrica, 1981
- Distribution of the Estimators for Autoregressive Time Series With a Unit RootJournal of the American Statistical Association, 1979