Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/90786
Authors: 
Eitrheim, O.
Husebo, T.A.
Nymoen, R.
Year of Publication: 
1998
Series/Report no.: 
Memorandum, Department of Economics, University of Oslo 01/1998
Abstract: 
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.
Subjects: 
forecasts
macroeconomics
JEL: 
C53
E27
E47
Document Type: 
Working Paper

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