Integration, cointegration and the forecast consistency of structural exchange rate models

We propose an alternative set of criteria for evaluating forecast rationality: the forecast and the actual series (1) have the same order of integration, (2) are cointegrated and (3) have a cointegrating vector consistent with long-run unitary elasticity of expectations. We denote forecasts that mee...

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Veröffentlicht in:	Journal of international money and finance 1998-10, Vol.17 (5), p.813-830
Hauptverfasser:	Cheung, Y.-W., Chinn, M.D.
Format:	Artikel
Sprache:	eng
Schlagworte:	Cointegration Economic forecasts Economic models Estimating techniques Exchange rate Forecasting Forecasts Foreign exchange rates Studies
Online-Zugang:	Volltext
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