Forecasting with equilibrium-correction models during structural breaks

被引：24

作者：

Castle, Jennifer L. ^{[1
]}

Fawcett, Nicholas W. P. ^{[1
]}

Hendry, David F. ^{[1
]}

机构：

[1] Univ Oxford, Dept Econ, Oxford OX1 2JD, England

来源：

JOURNAL OF ECONOMETRICS | 2010年 / 158卷 / 01期

基金：

英国经济与社会研究理事会;

关键词：

Cointegration; Equilibrium-correction; Forecasting; Location shifts; Colinearity; M1; EXPLAINING COINTEGRATION ANALYSIS; UNITED-KINGDOM; SYSTEMS; DEMAND;

D O I：

10.1016/j.jeconom.2010.03.004

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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 loss of cointegration when an EqCM suffers an equilibrium-mean shift, but helps when collinearities are changed by an 'external' break with the EqCM staying constant. Both mechanistic corrections help compared to retaining a pre-break estimated model, but an estimated model of the break process could outperform. We apply the approaches to EqCMs for UK M1, compared with updating a learning function as the break evolves. (C) 2010 Elsevier B.V. All rights reserved.

引用

页码：25 / 36

页数：12

共 31 条

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