Forecasting with equilibrium-correction models during structural breaks
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...
| Main Authors: | , , |
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| Formato: | Working paper |
| Publicado em: |
University of Oxford
2008
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