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...

Disgrifiad llawn

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

Forecasting with Equilibrium-correction Models during Structural Breaks. gan Castle, J, Fawcett, N, Hendry, D

Cyhoeddwyd 2010

Journal article

Forecasting with equilibrium-correction models during structural breaks gan Castle, J, Fawcett, N, Hendry, D

Cyhoeddwyd 2010

Journal article

Forecasting with Equilibrium-correction Models during Structural Breaks. gan Castle, J, Fawcett, N, Hendry, D

Cyhoeddwyd 2008

Working paper

Forecasting with equilibrium-correction models during structural breaks

Forecasting with Equilibrium-correction Models during Structural Breaks. gan Castle, J, Fawcett, N, Hendry, D

Forecasting with equilibrium-correction models during structural breaks gan Castle, J, Fawcett, N, Hendry, D

Forecasting with Equilibrium-correction Models during Structural Breaks. gan Castle, J, Fawcett, N, Hendry, D

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