Error-correction versus Differencing in Macroeconomic Forecasting
T.A. Husebo and
Ragnar Nymoen ()
No 01/1998, Memorandum from Oslo University, Department of Economics
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.
Keywords: FORECASTS; MACROECONOMICS (search for similar items in EconPapers)
JEL-codes: C53 E27 E47 (search for similar items in EconPapers)
Pages: 26 pages
References: Add references at CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed
Downloads: (external link)
http://www.sv.uio.no/econ/english/research/unpubli ... 998/Memo-01-1998.pdf (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:hhs:osloec:1998_001
Access Statistics for this paper
More papers in Memorandum from Oslo University, Department of Economics Department of Economics, University of Oslo, P.O Box 1095 Blindern, N-0317 Oslo, Norway. Contact information at EDIRC.
Bibliographic data for series maintained by Mari Strønstad Øverås ().