Robustifying forecasts from equilibrium-correction systems

DOI10.1016/j.jeconom.2005.07.029zbMath1418.62467MaRDI QIDQ291860

David F. Hendry

Publication date: 10 June 2016

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

Full work available at URL: https://ora.ox.ac.uk/objects/uuid:57adf07f-f189-4af4-9f17-6d36c5db46fd

zbMATH Keywords

cointegration; non-stationarity; equilibrium correction; robust forecasts; UK money

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M20: Inference from stochastic processes and prediction

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

91B84: Economic time series analysis

Related Items

Misspecification Testing: Non-Invariance of Expectations Models of Inflation, MODEL DISCOVERY AND TRYGVE HAAVELMO’S LEGACY, Forecasting with equilibrium-correction models during structural breaks, How useful are DSGE macroeconomic models for forecasting?, Testing for and estimating structural breaks and other nonlinearities in a dynamic monetary sector, Nowcasting from disaggregates in the face of location shifts

Uses Software

• PcGive

Cites Work

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