Forecasting threshold cointegrated systems
Article Abstract:
The performance of long-term forecasting can be improved by applying the knowledge of cointegrating relationships into linear models and using nonlinear equilibrium correction models like a bivariate threshold vector equilibrium correction model with unknown cointegrating parameter vectors (TVECM) and a bivariate cointegration model with regime specific cointegration vectors (LTVECM). The simulation experiments and the data collected shows that LTVECM outperforms the TVECM.
Publication Name: International Journal of Forecasting
Subject: Economics
ISSN: 0169-2070
Year: 2004
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Aggregation effect and forecasting temporal aggregates of long memory processes
Article Abstract:
A study on parsimonious impact of temporary aggregation on long memory time series is presented.
Publication Name: International Journal of Forecasting
Subject: Economics
ISSN: 0169-2070
Year: 2006
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