Forecasting with equilibrium-correction models during structural breaks

DOI10.1016/J.JECONOM.2010.03.004MaRDI QIDQ736553zbMATH OpenOpenAlexFDO

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

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

forecastingcointegrationcollinearitylocation shiftsequilibrium-correctionM1

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 5035842 (Why is no real title available?)
• scientific article; zbMATH DE number 3036187 (Why is no real title available?)
• A Comparison of Alternative Estimators for Simultaneous Equations
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Forecasting Time Series Subject to Multiple Structural Breaks
• Forecasting non-stationary economic time series. With a foreword by Katarina Juselius
• Identifying, estimating and testing restricted cointegrated systems: An overview
• Robustifying forecasts from equilibrium-correction systems
• The Demand for M1 in the U.S.A., 1960-1988
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

Cited in

(11)

• Forecasting economic growth by combining local linear and standard approaches
• Optimal forecasts in the presence of structural breaks
• Robustifying forecasts from equilibrium-correction systems
• How useful are DSGE macroeconomic models for forecasting?
• MODEL DISCOVERY AND TRYGVE HAAVELMO’S LEGACY
• Improving empirical models and forecasts with saturation-based machine learning
• Forecasting by factors, by variables, by both or neither?
• Long memory and fractional differencing: revisiting Clive W. J. Granger's contributions and further developments
• Haavelmo's probability approach and the cointegrated VAR
• Unpredictability in economic analysis, econometric modeling and forecasting
• Nowcasting from disaggregates in the face of location shifts

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