A comparison of forecasting performance between ECM and the difference ARX model

Using Monte Carlo simulations, we compare the forecasting performance of the single equation error correction model (SEECM) with that of the (misspecified) difference autoregressive model with exogenous variables (ARX). The main result of the article is that the SEECM produces superior forecasts for short horizons, but not for long horizons, as shown analytically by Christoffersen and Diebold (1999).

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Year of publication:	2009
Authors:	Kurz-Kim, Jeong-Ryeol
Published in:	Applied Economics Letters. - Taylor & Francis Journals, ISSN 1350-4851. - Vol. 16.2009, 2, p. 121-124
Publisher:	Taylor & Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005435159