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Query: faculty: "FEB" and publication year: "2004"

AuthorsJ.G. de Gooijer, A. Vidiella-i-Anguera
TitleForecasting threshold cointegrated systems
JournalInternational Journal of Forecasting
Volume20
Year2004
Issue2
Pages237-253
ISSN01692070
FacultyFaculty of Economics and Business
Institute/dept.FEB: Amsterdam School of Economics Research Institute (ASE-RI)
AbstractThe cointegration literature suggests that forecast errors may be reduced by incorporating the knowledge of cointegrating relationships into linear models to generate forecasts. We show that the long-term (one- to sixty-steps ahead) forecasting performance can further be enhanced by applying nonlinear equilibrium correction models. In particular, we focus on a bivariate threshold vector equilibrium correction model with the same unknown cointegrating parameter vector in both regimes (TVECM), and a bivariate cointegration model with regime-specific cointegration vectors (LTVECM). Based on simulation experiments as well as two real data sets, and using a variety of evaluation measures, we find that the forecasting performance of the LTVECM outperforms the TVECM and the usual linear specification of the equilibrium correcting mechanism. This result holds for forecasts generated by bootstrapping and Monte Carlo simulation.
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