Robustifying forecasts from equilibrium-correction models
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...
| Auteur principal: | |
|---|---|
| Format: | Journal article |
| Langue: | English |
| Publié: |
Elsevier
2005
|
| Sujets: |
Search Result 1
