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...
| 主要作者: | |
|---|---|
| 格式: | Journal article |
| 語言: | English |
| 出版: |
Elsevier
2005
|
| 主題: |