I am modelling a cointegration with VECM and I have a question regarding the confidence intervals obtained. My model builds on the cointegration relationship between Oil and Gas prices, and these are the only two variables in the VECM with different lags.
I am looking at the difference in the predicted prices and doing a profitability analysis based on the predicted prices analyzing if oil or gas is the most profitable fuel. My question is if I can compare the confidence interval (95%) of my Oil prediction with the confidence interval of Gas, and based on that decide what fuel is more economical? Can I call the 95% confidence intervals as «lower bounds» for the prices and based on that compare the profitability?
Thank you for you help,
Confidence intervals
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