Forecast encompassing test for cointegrated time series
Posted by Richard Hardy, at stats.stackexchange.com,
I am forecasting an integrated time series variable $y_t$. I have two competing forecasts, $f^1_t:=f^1_{t|t-h}$ and $f^2_t:=f^2_…
Analysis of Integrated and Cointegrated Time Series with R
Overview of attention for book
Table of Contents
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Altmetric BadgeBook Overview
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Altmetric BadgeChapter 1 Univariate Analysis of Stationary Time Series
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Altmetric BadgeChapter 2 Multivariate Analysis of Stationary Time Series
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Altmetric BadgeChapter 3 Non-stationary Time Series
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Altmetric BadgeChapter 4 Cointegration
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Altmetric BadgeChapter 5 Testing for the Order of Integration
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Altmetric BadgeChapter 6 Further Considerations
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Altmetric BadgeChapter 7 Single-Equation Methods
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Altmetric BadgeChapter 8 Multiple-Equation Methods