Forecasting with equilibrium-correction models during structural breaks
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...
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| Fformat: | Journal article |
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Elsevier
2010
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