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Original Articles

A comparison of forecasting performance between ECM and the difference ARX modelFootnote1

Pages 121-124 | Published online: 21 Jan 2009

References

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  • Engle , R. F. and Yoo , B. S. 1987 . Forecasting and testing in cointegrated systems . Journal of Econometrics , 45 : 143 – 59 .
  • Kim, J.-R. (1994) Analyse kointegrierter Modelle, Dissertation, Haag+Herchen, Frankfurt am Main
  • Phillips , P. C. B. and Hansen , B. E. 1990 . Statistical inference in instrumental variables regression with I(1) processes . Review of Economic Studies , 57 : 99 – 125 .

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