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...

Disgrifiad llawn

Manylion Llyfryddiaeth
Prif Awduron:	Castle, J, Hendry, D, Fawcett, N
Fformat:	Working paper
Cyhoeddwyd:	University of Oxford 2008

Eitemau Tebyg

Forecasting with Equilibrium-correction Models during Structural Breaks.
gan: Castle, J, et al.
Cyhoeddwyd: (2008)

Forecasting with Equilibrium-correction Models during Structural Breaks.
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Cyhoeddwyd: (2010)

Forecasting with equilibrium-correction models during structural breaks
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Robustifying forecasts from equilibrium-correction models
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Robustifying Forecasts from Equilibrium-Correction Models.
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An overview of forecasting facing breaks
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Improving models and forecasts after equilibrium-mean shifts
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Robustifying Forecasts from Equilibrium-Correction Systems.
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Nowcasting is not just contemporaneous forecasting
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Nowcasting Is Not Just Contemporaneous Forecasting.
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Economic Forecasting in the Face of Structural Breaks.
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Modelling and forecasting the dollar-pound exchange rate in the presence of structural breaks
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Forecasting with breaks.
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Forecasting in the Presence of Structural Breaks and Policy Regime Shifts.
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Forecasting in the Presence of Structural Breaks and Policy Regime Shifts.
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Forecasting in the Presence of Structural Breaks and Policy Regime Shifts.
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Model selection in under-specified equations facing breaks
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Model selection in under-specified equations facing breaks
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Model Selection in Under-specified Equations Facing Breaks.
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Model Selection when there are Multiple Breaks.
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Model selection when there are multiple breaks
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Cyhoeddwyd: (2008)

Model selection when there are multiple breaks
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On not evaluating economic models by forecast outcomes
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Cyhoeddwyd: (2011)

On not evaluating economic models by forecast outcomes
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On Not Evaluating Economic Models by Forecast Outcomes.
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A machine learning dynamic switching approach to forecasting when there are structural breaks
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Revisiting UK consumers' expenditure: Cointegration, breaks and robust forecasts.
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Selecting a model for forecasting
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Forecasting by factors, by variables, or both?
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Robust approaches to forecasting
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Robust approaches to forecasting
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Cointegration tests in the presence of structural breaks.
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