Robustifying Forecasts from Equilibrium-Correction Models.
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 forecast failure, and indeed forecasts will tend to move in the opposite direction to the data. A ne...
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| Format: | Working paper |
| Language: | English |
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Nuffield College (University of Oxford)
2004
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