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...
| Hlavní autoři: | , , |
|---|---|
| Médium: | Journal article |
| Vydáno: |
Elsevier
2010
|