Browsing Arbeidsnotater / Working Papers by Subject "differenced VAR models"
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Error-Correction Versus Differencing in Macroeconometric Forecasting
(Working Papers;6/1998, Working paper, 1998)Recent work by Clements and Hendry have shown why forecasting systems that are in terms of differences, dVARs, can be more accurate than economet- ric models that include levels variables, ECMs. For example, dVAR forecasts ...