Forecasting with equilibrium-correction models during structural breaks

DOI10.1016/j.jeconom.2010.03.004zbMath1431.62595OpenAlexW1971116855MaRDI QIDQ736553

David F. Hendry, Jennifer L. Castle, Nicholas W. P. Fawcett

Publication date: 4 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://ora.ox.ac.uk/objects/uuid:bdd4e17a-b4a1-4580-9239-b296124999ac

zbMATH Keywords

cointegrationforecastingcollinearitylocation shiftsequilibrium-correctionM1

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Economic time series analysis (91B84)

Related Items (7)

Unnamed Item ⋮ How useful are DSGE macroeconomic models for forecasting? ⋮ Unpredictability in economic analysis, econometric modeling and forecasting ⋮ Forecasting by factors, by variables, by both or neither? ⋮ MODEL DISCOVERY AND TRYGVE HAAVELMO’S LEGACY ⋮ Nowcasting from disaggregates in the face of location shifts ⋮ HAAVELMO’S PROBABILITY APPROACH AND THE COINTEGRATED VAR

Uses Software

• PcGive

Cites Work

• Robustifying forecasts from equilibrium-correction systems
• The Demand for M1 in the U.S.A., 1960-1988
• Forecasting Time Series Subject to Multiple Structural Breaks
• Identifying, estimating and testing restricted cointegrated systems: An overview
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• A Comparison of Alternative Estimators for Simultaneous Equations
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