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Selecting a model for forecasting

Abstract:

We investigate forecasting in models that condition on variables for which future values are unknown. We consider the role of the significance level because it guides the binary decisions whether to include or exclude variables. The analysis is extended by allowing for a structural break, either in the first forecast period or just before. Theoretical results are derived for a three-variable static model, but generalized to include dynamics and many more variables in the simulation experiment...

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Publication status:
Published
Peer review status:
Peer reviewed

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Publisher copy:
10.3390/econometrics9030026

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Institution:
University of Oxford
Role:
Author
Publisher:
MDPI Publisher's website
Journal:
Econometrics Journal website
Volume:
9
Issue:
3
Article number:
26
Publication date:
2021-06-25
Acceptance date:
2021-06-17
DOI:
ISSN:
2225-1146
Language:
English
Keywords:
Pubs id:
1183073
Local pid:
pubs:1183073
Deposit date:
2021-06-22

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