Eitrheim, O.; Husebo, T.A.; Nymoen, R. - Økonomisk institutt, Universitetet i Oslo - 1998
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...
