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forecast mean squared error criterion and certain parameter estimation results indicate that, in practice, a cointegration … forecast, is an ordinary VAR model, also in annual differences. -- Seasonal cointegration ; forecasting …We propose a seasonal cointegration model [SECM] for quarterly data which includes variables with different numbers of …
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In this note, we consider the contradiction between the fact that the best fit for the UK consumption data in Davidson et al. (1978) is obtained using an equation with an intercept but without an error correction term, whereas the equation with error correction and without the intercept has...
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We summarize some methods useful in formulating and solving Hansen-Sargent robust control problems, and suggest extensions to discretion and simple rules. Matlab, Octave, and Gauss software is provided. We illustrate these extensions with applications to the term structure of interest rates, the...
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