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Forecasting with equilibrium-correction models during structural breaks
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DOI：10.1016/j.jeconom.2010.03.004.png)
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摘要
En 中文
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.
Keyword:
Cointegration
Equilibrium-correction
Forecasting
Location shifts
Colinearity
M1
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