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Multi-step Forecasting in Unstable Economies: Robustness Issues in the Presence of Location Shifts

Abstract:

To forecast at several, say h, periods into the future, a modeller faces two techniques: iterating onestep ahead forecasts (the IMS technique) or directly modelling the relation between observations separated by an h-period interval and using it for forecasting (DMS forecasting). It is known that unit-root non-stationarity and residual autocorrelation benefit DMS accuracy in finite samples. We analyze here the effect of structural breaks as observed in unstable economies, and show that the be...

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Publisher:
Department of Economics (University of Oxford)
Series:
Discussion paper series
Publication date:
2006-01-01
Language:
English
UUID:
uuid:cf0a7d98-533e-42d1-b9fb-83f27bb35b0d
Local pid:
ora:1296
Deposit date:
2011-08-16

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