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- W1556548854 abstract "Do long-run equilibrium relations suggested by economic theory help to improve the forecasting performance of a cointegrated vector error correction model (VECM)? In this paper we try to answer this question in the context of a two-country model developed for the Canadian and US economies. We compare the forecasting performance of the exactly identified cointegrated VECMs to the performance of the over-identified VECMs with the long-run theory restrictions imposed. We allow for model uncertainty and conduct this comparison for every possible combination of the cointegration ranks of the Canadian and US models. We show that the over-identified structural cointegrated models generally outperform the exactly identified models in forecasting Canadian macroeconomic variables. We also show that the pooled forecasts generated from the over-identified models beat most of the individual exactly identified and over-identified models as well as the VARs in levels and in differences. Copyright © 2011 John Wiley & Sons, Ltd." @default.
- W1556548854 created "2016-06-24" @default.
- W1556548854 creator A5056360824 @default.
- W1556548854 date "2011-03-13" @default.
- W1556548854 modified "2023-10-05" @default.
- W1556548854 title "Do Long-Run Theory Restrictions Help in Forecasting?" @default.
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- W1556548854 doi "https://doi.org/10.1002/for.1229" @default.
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