Forecast performance of nonlinear error-
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Zacharias Psaradakis; Fabio Spagnolo
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Article
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2005
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John Wiley and Sons
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English
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In this paper we investigate the forecast performance of nonlinear errorcorrection models with regime switching. In particular, we focus on threshold and Markov switching error-correction models, where adjustment towards long-run equilibrium is nonlinear and discontinuous. Our simulation study revea