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Regime switching and the forecasting bias of asymmetric error correction models

โœ Scribed by Cook, Steven


Book ID
120630452
Publisher
Taylor and Francis Group
Year
2001
Tongue
English
Weight
117 KB
Volume
8
Category
Article
ISSN
1350-4851

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Forecast performance of nonlinear error-
โœ Zacharias Psaradakis; Fabio Spagnolo ๐Ÿ“‚ Article ๐Ÿ“… 2005 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 154 KB ๐Ÿ‘ 1 views

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