Journal article
Robustifying forecasts from equilibrium-correction models
- Abstract:
-
Cointegration analysis has led to equilibrium-correction econometric systems being ubiquitous. But in a non-stationary world subject to structural breaks, where model and mechanism differ, equilibrium-correction models are a risky device from which to forecast. Equilibrium shifts entail systematic forecast failure, as forecasts will tend to move in the opposite direction to data. We explain the empirical success of second-differenced devices and of model transformations based on additional di...
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- Publication status:
- Published
- Peer review status:
- Peer reviewed
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- Publisher copy:
- 10.1016/j.jeconom.2005.07.029
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Authors
Bibliographic Details
- Publisher:
- Elsevier Publisher's website
- Journal:
- Journal of Econometrics Journal website
- Volume:
- 135
- Issue:
- 1-2
- Pages:
- 399-426
- Publication date:
- 2005-09-08
- DOI:
- ISSN:
-
0304-4076
Item Description
- Language:
- English
- Keywords:
- Subjects:
- UUID:
-
uuid:2bc5a3db-644f-460f-bcba-11bcbb75f875
- Local pid:
- ora:1929
- Deposit date:
- 2008-05-13
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Terms of use
- Copyright holder:
- Elsevier
- Copyright date:
- 2005
- Notes:
- The full-text of this article is not available in ORA at this time. Citation: Hendry, D. F. (2006). 'Robustifying forecasts from equilibrium-correction models', Journal of Econometrics, 135(1-2), 399-426. [Publisher version available at: http://dx.doi.org/10.1016/j.jeconom.2005.07.029].
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