Forecasting with Equilibrium-correction Models during Structural Breaks.

Forecasting with Equilibrium-correction Models during Structural Breaks.

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When location shifts occur, cointegration-based equilibrium-correction models (EqCMs) face forecasting problems. We consider alleviating such forecast failure by updating, intercept corrections, differencing, and estimating the future progress of an 'internal' break. Updating leads to a lo...

Bibliografski detalji
Glavni autori:	Castle, J, Fawcett, N, Hendry, D
Format:	Journal article
Jezik:	English
Izdano:	Elsevier 2010

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