Does modeling a structural break improve forecast accuracy?
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Cites work
- scientific article; zbMATH DE number 3502628 (Why is no real title available?)
- scientific article; zbMATH DE number 846847 (Why is no real title available?)
- scientific article; zbMATH DE number 897115 (Why is no real title available?)
- A Test of the Mean Square Error Criterion for Restrictions in Linear Regression
- A new test for structural stability in the linear regression model
- ARE EXCHANGE RATES REALLY RANDOM WALKS? SOME EVIDENCE ROBUST TO PARAMETER INSTABILITY
- Averaging estimators for regressions with a possible structural break
- Confidence sets for the date of a single break in linear time series regressions
- Detecting and Predicting Forecast Breakdowns
- Detecting relevant changes in time series models
- Estimating and Testing Linear Models with Multiple Structural Changes
- Extreme values and high boundary crossings of locally stationary Gaussian processes
- Generalized Predictive Tests and Structural Change Analysis in Econometrics
- In-sample tests of predictive ability: a new approach
- Nearly optimal tests when a nuisance parameter is present under the null hypothesis
- Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
- Optimal forecasts in the presence of structural breaks
- Pre and post break parameter inference
- Pre-test procedures and forecasting in the regression model under restrictions
- Predictability of stock returns and asset allocation under structural breaks
- Properties of Predictors for Autoregressive Time Series
- Rolling window selection for out-of-sample forecasting with time-varying parameters
- Selection of estimation window in the presence of breaks
- Small sample properties of forecasts from autoregressive models under structural breaks
- Specification Tests in Econometrics
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- Tests of equal forecast accuracy and encompassing for nested models
- The sampling distribution of forecasts from a first-order autoregression
- Variable selection, estimation and inference for multi-period forecasting problems
- Weaker Criteria and Tests for Linear Restrictions in Regression
Cited in
(13)- Oracle efficient estimation of structural breaks in cointegrating regressions
- Forecasting in the presence of structural breaks and policy regime shifts
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- Small sample properties of forecasts from autoregressive models under structural breaks
- Do experts' adjustments on model-based SKU-level forecasts improve forecast quality?
- Selection of estimation window in the presence of breaks
- Structural-break models under mis-specification: implications for forecasting
- Forecasting with equilibrium-correction models during structural breaks
- Detecting and Predicting Forecast Breakdowns
- Is forecasting with large models informative? Assessing the role of judgement in macroeconomic forecasts
- Forecasting Time Series Subject to Multiple Structural Breaks
- Predictive model averaging with parameter instability and heteroskedasticity
- Break detectability and mean square forecast error ratios for selecting estimation windows
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