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Forecasting with breaks.

Abstract:

A structural break is viewed as a permanent change in the parameter vector of a model. Using taxonomies of all sources of forecast errors for both conditional mean and conditional variance processes, we consider the impacts of breaks and their relevance in forecasting models: (a) where the breaks occur after forecasts are announced; and (b) where they occur in-sample and hence pre-forecasting. The impact on forecasts depends on which features of the models are non-constant. Different models a...

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Role:
Editor
Role:
Editor
Role:
Editor
Publisher:
Elsevier
Host title:
Handbook of Economic Forecasting
Pages:
605 - 657
Publication date:
2006-01-01
DOI:
ISBN:
0-444-51395-7
UUID:
uuid:fb7478b2-f889-4aac-99a4-ca25cfe530af
Local pid:
oai:economics.ouls.ox.ac.uk:12938
Deposit date:
2011-08-16

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