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...

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Bibliografiske detaljer
Main Authors:	Castle, J, Hendry, D, Fawcett, N
Format:	Working paper
Udgivet:	University of Oxford 2008

Lignende værker

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

Forecasting with Equilibrium-correction Models during Structural Breaks.
af: Castle, J, et al.
Udgivet: (2010)

Forecasting with equilibrium-correction models during structural breaks
af: Castle, J, et al.
Udgivet: (2010)

Forecasting breaks and forecasting during breaks
af: Castle, J, et al.
Udgivet: (2011)

Forecasting breaks and forecasting during breaks.
af: Castle, J, et al.
Udgivet: (2011)

Forecasting UK Inflation: the Roles of Structural Breaks and Time Disaggregation
af: Castle, J, et al.
Udgivet: (2007)

Forecasting UK inflation: the roles of structural breaks and time disaggregation
af: Castle, J, et al.
Udgivet: (2007)

Forecasting UK inflation: the roles of structural breaks and time disaggregation
af: Castle, J, et al.
Udgivet: (2007)

Robustifying forecasts from equilibrium-correction models
af: Hendry, D
Udgivet: (2005)

Robustifying Forecasts from Equilibrium-Correction Models.
af: Hendry, D
Udgivet: (2004)

An overview of forecasting facing breaks
af: Castle, J, et al.
Udgivet: (2016)

An overview of forecasting facing breaks
af: Castle, J, et al.
Udgivet: (2016)

Improving models and forecasts after equilibrium-mean shifts
af: Castle, J, et al.
Udgivet: (2023)

Robustifying Forecasts from Equilibrium-Correction Systems.
af: Hendry, D
Udgivet: (2006)

Nowcasting is not just contemporaneous forecasting
af: Castle, J, et al.
Udgivet: (2009)

Nowcasting Is Not Just Contemporaneous Forecasting.
af: Castle, J, et al.
Udgivet: (2009)

Economic Forecasting in the Face of Structural Breaks.
af: Hendry, D, et al.
Udgivet: (2000)

Modelling and forecasting the dollar-pound exchange rate in the presence of structural breaks
af: Castle, J
Udgivet: (2019)

Forecasting with breaks
af: Clements, M, et al.
Udgivet: (2006)

Forecasting with breaks.
af: Clements, M, et al.
Udgivet: (2006)

Forecasting in the presence of structural breaks and policy regime shifts
af: Hendry, D, et al.
Udgivet: (2005)

Forecasting in the Presence of Structural Breaks and Policy Regime Shifts.
af: Hendry, D, et al.
Udgivet: (2002)

Forecasting in the Presence of Structural Breaks and Policy Regime Shifts.
af: Hendry, D, et al.
Udgivet: (2005)

Forecasting in the Presence of Structural Breaks and Policy Regime Shifts.
af: Hendry, D, et al.
Udgivet: (2002)

Model selection in under-specified equations facing breaks
af: Castle, J, et al.
Udgivet: (2014)

Model selection in under-specified equations facing breaks
af: Hendry, D, et al.
Udgivet: (2010)

Model Selection in Under-specified Equations Facing Breaks.
af: Castle, J, et al.
Udgivet: (2010)

Model Selection when there are Multiple Breaks.
af: Castle, J, et al.
Udgivet: (2008)

Model selection when there are multiple breaks
af: Castle, J, et al.
Udgivet: (2008)

Model selection when there are multiple breaks
af: Castle, J, et al.
Udgivet: (2012)

On not evaluating economic models by forecast outcomes
af: Castle, J, et al.
Udgivet: (2011)

On not evaluating economic models by forecast outcomes
af: Castle, J, et al.
Udgivet: (2011)

On Not Evaluating Economic Models by Forecast Outcomes.
af: Castle, J, et al.
Udgivet: (2011)

A machine learning dynamic switching approach to forecasting when there are structural breaks
af: Marcondes Pinto, J, et al.
Udgivet: (2021)

Revisiting UK consumers' expenditure: Cointegration, breaks and robust forecasts.
af: Hendry, D
Udgivet: (2011)

Selecting a model for forecasting
af: Castle, J, et al.
Udgivet: (2021)

Forecasting by factors, by variables, or both?
af: Castle, J, et al.
Udgivet: (2012)

Robust approaches to forecasting
af: Castle, J, et al.
Udgivet: (2014)

Robust approaches to forecasting
af: Castle, J, et al.
Udgivet: (2015)

Cointegration tests in the presence of structural breaks.
af: Campos, J, et al.
Udgivet: (1993)