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...
| Auteurs principaux: | , , |
|---|---|
| Format: | Working paper |
| Publié: |
University of Oxford
2008
|