A potentially useful property of forecasts based on cointegration is that when extended some way ahead, the forecasts of the two series will form a constant ratio, as is expected by some asymptotic economic theory. (Clive Granger)

A potentially useful property of forecasts based on cointegration is that when extended some way ahead, the forecasts of the two series will form a constant ratio, as is expected by some asymptotic economic theory.

Clive Granger

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based constant form property ratio series theory way cointegration

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