Forecasting threshold cointegrated systems

Article Abstract:

The performance of long-term forecasting can be improved by applying the knowledge of cointegrating relationships into linear models and using nonlinear equilibrium correction models like a bivariate threshold vector equilibrium correction model with unknown cointegrating parameter vectors (TVECM) and a bivariate cointegration model with regime specific cointegration vectors (LTVECM). The simulation experiments and the data collected shows that LTVECM outperforms the TVECM.

Models, Analysis, Multivariate analysis, Vector analysis, Linear models (Statistics)

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Aggregation effect and forecasting temporal aggregates of long memory processes

Article Abstract:

A study on parsimonious impact of temporary aggregation on long memory time series is presented.

United States, Forecasts, trends, outlooks, Forecasts and trends, Market trend/market analysis, Time-series analysis, Time series analysis

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