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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מידע ביבליוגרפי
Main Authors: Castle, J, Hendry, D, Fawcett, N
פורמט: Working paper
יצא לאור: University of Oxford 2008
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