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Modelling market fundamentals: A model of the aluminium market (replication d...
The standard approach to modelling primary commodity markets under rational expectations is to relate the commodity price to the production and consumption surprises (i.e. the... -
Forecasting in cointegrated systems (replication data)
We consider the implications for forecast accuracy of imposing unit roots and cointegrating restrictions in linear systems of I(1) variables in levels, differences, and...