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...
| Автори: | , , |
|---|---|
| Формат: | Working paper |
| Опубліковано: |
University of Oxford
2008
|
Search Result 1
Forecasting with Equilibrium-correction Models during Structural Breaks.
Опубліковано 2010
Journal article
Search Result 2
Forecasting with equilibrium-correction models during structural breaks
Опубліковано 2010
Journal article
Search Result 3
Forecasting with Equilibrium-correction Models during Structural Breaks.
Опубліковано 2008
Working paper