Forecasting multivariate time series under present-value model short- and long-run co-movement restrictions

B-Tier

Journal: International Journal of Forecasting

Year: 2015

Volume: 31

Issue: 3

Pages: 862-875

Authors (4)

Guillén, Osmani Teixeira (IBMEC Business School - Rio de...) Hecq, Alain (Maastricht University) Issler, João Victor (Fundação Getúlio Vargas (FGV)) Saraiva, Diogo (not in RePEc)

Score contribution per author:

0.503 = (α=2.01 / 4 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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Abstract

Using a sequence of VAR-based nested multivariate models, we discuss the different layers of restrictions that are imposed on the VAR in levels by present-value models (PVM hereafter) for series that are subject to present-value restrictions. Our focus is novel: we are interested in the short-run restrictions entailed by PVMs (Vahid & Engle, 1993, 1997) and their implications for forecasting.

Forecasting multivariate time series under present-value model short- and long-run co-movement restrictions

Authors (4)

Abstract

Technical Details