Arbeitspapier
Error-correction versus Differencing in Macroeconomic Forecasting
Recent work by Clements and Hendry have shown why forecasting systems that are in terms of differences, dVARs, can be more accurate than econometric models that include levels variables, ECMs. For example, dVAR forecasts are insulated from parameter non-constancies in the long run mean of the cointegration relationships. In this paper, the practical relevance of these issues are investigated for RIMINI, the quarterly model of the Central Bank of Norway, which we take as an example of an ECM forecasting model.
- Language
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Englisch
- Bibliographic citation
-
Series: Memorandum ; No. 01/1998
- Classification
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Wirtschaft
Forecasting Models; Simulation Methods
Macroeconomics: Consumption, Saving, Production, Employment, and Investment: Forecasting and Simulation: Models and Applications
Money and Interest Rates: Forecasting and Simulation: Models and Applications
- Subject
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forecasts
macroeconomics
- Event
-
Geistige Schöpfung
- (who)
-
Eitrheim, O.
Husebo, T.A.
Nymoen, R.
- Event
-
Veröffentlichung
- (who)
-
University of Oslo, Department of Economics
- (where)
-
Oslo
- (when)
-
1998
- Handle
- Last update
- 10.03.2025, 11:42 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Eitrheim, O.
- Husebo, T.A.
- Nymoen, R.
- University of Oslo, Department of Economics
Time of origin
- 1998
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