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Improved estimates and forecasts of error correction models in economics

Journal Article


Abstract


  • This paper is concerned with improved estimation and better forecasting of major economic activity within the context of error correction (EC) models as pioneered by Sargan in 1964, and extended by numerous economists over the past three decades. A new and general econometric methodology with superior average mean squared errors (MSE) for EC models is introduced and, for illustration, applied to the estimation and forecasting of private consumption and demand for money in Australia for the period 1960-1992. The improvement in terms of historical and ex post forecasting MSE of our new methodology over the conventional statistical approaches currently in use for EC models is found to be up to 15.43%. © 1994.

UOW Authors


  •   Tran, Jimmy Van Hoa. (external author)

Publication Date


  • 1994

Citation


  • Van Hoa, T. (1994). Improved estimates and forecasts of error correction models in economics. Economics Letters, 46(3), 195-202. doi:10.1016/0165-1765(94)00489-7

Scopus Eid


  • 2-s2.0-43949151759

Web Of Science Accession Number


Start Page


  • 195

End Page


  • 202

Volume


  • 46

Issue


  • 3

Abstract


  • This paper is concerned with improved estimation and better forecasting of major economic activity within the context of error correction (EC) models as pioneered by Sargan in 1964, and extended by numerous economists over the past three decades. A new and general econometric methodology with superior average mean squared errors (MSE) for EC models is introduced and, for illustration, applied to the estimation and forecasting of private consumption and demand for money in Australia for the period 1960-1992. The improvement in terms of historical and ex post forecasting MSE of our new methodology over the conventional statistical approaches currently in use for EC models is found to be up to 15.43%. © 1994.

UOW Authors


  •   Tran, Jimmy Van Hoa. (external author)

Publication Date


  • 1994

Citation


  • Van Hoa, T. (1994). Improved estimates and forecasts of error correction models in economics. Economics Letters, 46(3), 195-202. doi:10.1016/0165-1765(94)00489-7

Scopus Eid


  • 2-s2.0-43949151759

Web Of Science Accession Number


Start Page


  • 195

End Page


  • 202

Volume


  • 46

Issue


  • 3