Forecasting with equilibrium-correction models during structural breaks

Forecasting with equilibrium-correction models during structural breaks

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When breaks occur, equilibrium-correction models (EqCMs) based on cointegration face forecasting problems. We investigate approaches to alleviate forecast failure following a location shift, including updating, intercept corrections, differencing, and estimating the future impact of an 'intern...

書誌詳細
主要な著者:	Castle, J, Hendry, D, Fawcett, N
フォーマット:	Working paper
出版事項:	University of Oxford 2008

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