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...
| Príomhchruthaitheoir: | |
|---|---|
| Formáid: | Journal article |
| Teanga: | English |
| Foilsithe / Cruthaithe: |
Elsevier
2005
|
| Ábhair: |
Search Result 1
Robustifying Forecasts from Equilibrium-Correction Models.
Foilsithe / Cruthaithe 2004
Working paper