Small sample properties of forecasts from autoregressive models under structural breaks

DOI10.1016/J.JECONOM.2004.09.007zbMath1337.62295OpenAlexW3122810100MaRDI QIDQ265113

M. Hashem Pesaran, Allan G. Timmermann

Publication date: 1 April 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://www.econ.cam.ac.uk/research-files/repec/cam/pdf/cwpe0331.pdf

zbMATH Keywords

autoregressionstructural breaksMSFErolling window estimatorsmall sample properties of forecasts

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Related Items (18)

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Cites Work

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• Corrigenda: Properties of Predictors for Autoregressive Time Series
• Monitoring Structural Change
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• Moment approximation for least‐squares estimators in dynamic regression models with a unit root
• BIAS IN THE ESTIMATION OF AUTOCORRELATIONS
• NOTE ON BIAS IN THE ESTIMATION OF AUTOCORRELATION

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