Controlling spurious drift

被引：1

作者：

Bewley, R

Haddock, J

机构：

[1] Commonwealth Securities, Sydney, NSW 2000, Australia

[2] Yale Univ, New Haven, CT 06520 USA

来源：

ECONOMICS LETTERS | 2004年 / 84卷 / 01期

基金：

澳大利亚研究理事会;

关键词：

Bayesian VARs; forecasting; vector equilibrium correction models;

D O I：

10.1016/j.econlet.2003.12.013

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We show that linear restrictions can control which forecasts exhibit drift in a Bewley [Econ. Lett. 3 (1979) 357-361] transformation of a vector equilibrium correction (VEC) model. Controlling insignificant but numerically important drift has two benefits. First, it makes forecasts more credible. Second, it can make substantial improvements to forecast accuracy. (C) 2004 Elsevier B.V. All rights reserved.

引用

页码：81 / 85

页数：5

共 7 条

[1] Forecast accuracy, coefficient bias and Bayesian vector autoregressions [J].