Robustifying Forecasts from Equilibrium-Correction Systems.
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...
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Format: | Journal article |
Language: | English |
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Elsevier
2006
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