Robustifying forecasts from equilibrium-correction models

Robustifying forecasts from equilibrium-correction models

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Cointegration analysis has led to equilibrium-correction econometric systems being ubiquitous. But in a non-stationary world subject to structural breaks, where model and mechanism differ, equilibrium-correction models are a risky device from which to forecast. Equilibrium shifts entail systematic f...

書誌詳細
第一著者:	Hendry, D
フォーマット:	Journal article
言語:	English
出版事項:	Elsevier 2005
主題:	Economics

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