LONG‐TERM FORECASTING OF NONCOINTEGRATED AND COINTEGRATED REGIONAL AND NATIONAL MODELS*
研究了协整与非协整情况下区域和国家经济模型的长期预测表现，发现误差修正模型在协整系统中优于其他方法，而一阶差分模型在非协整系统中表现更佳。
ABSTRACT. Johansen's (1988) multivariate test for cointegration is first applied to four models involving quarterly state data and five variables, along with a national model based on Friedman and Kuttner's (1992) model of money demand, which uses three variables. Each regional model consists of frequently used national and state series, for which theory suggests the possible cointegration of several series pairs. Beginning with all five series, however, one state model is found to be cointegrated over each of 20 successive estimation intervals. The money demand model and one state model are not cointegrated over the same intervals. In the cointegrated case, five‐year experimental forecasts show that error correction mechanism (ECM) and Bayesian ECM models outperform all other approaches. More importantly, forecasting performance improves further by respecifying the ECM model based on three cointegrated series pairs rather than the five‐component cointegrating vector. For the two noncointegrated systems, the first‐difference model suggested by the cointegration/ error correction literature is far superior to VAR in levels over both shortand long‐term horizons.