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Forecasting threshold cointegrated systems

✍ Scribed by Jan G. De Gooijer; Antoni Vidiella-i-Anguera


Book ID
113647708
Publisher
Elsevier Science
Year
2004
Tongue
English
Weight
457 KB
Volume
20
Category
Article
ISSN
0169-2070

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πŸ“œ SIMILAR VOLUMES


Forecasting in large cointegrated proces
✍ Hiroaki Chigira; Taku Yamamoto πŸ“‚ Article πŸ“… 2009 πŸ› John Wiley and Sons 🌐 English βš– 276 KB

## Abstract It is widely recognized that taking cointegration relationships into consideration is useful in forecasting cointegrated processes. However, there are a few practical problems when forecasting large cointegrated processes using the well‐known vector error correction model. First, it is