Forecasting Time Series Subject to Multiple Structural Breaks
From MaRDI portal
Recommendations
Cited in
(62)- Using the methods of successive analysis for forecasting abrupt changes in random time series
- The macroeconomic and fiscal implications of inflation forecast errors
- Bayesian inference and prediction of a multiple-change-point panel model with nonparametric priors
- Predicting a recession: Evidence from the yield curve in the presence of structural breaks
- On marginal likelihood computation in change-point models
- Bayesian inference of multiple structural change models with asymmetric GARCH errors
- Testing for parameter instability and structural change in persistent predictive regressions
- Relevant parameter changes in structural break models
- On the evolution of the monetary policy transmission mechanism
- Detection of structural breaks in a time-varying heteroskedastic regression model
- Does modeling a structural break improve forecast accuracy?
- Semiparametric multivariate and multiple change-point modeling
- Variable selection in panel models with breaks
- Structural-break models under mis-specification: implications for forecasting
- Unpredictability in economic analysis, econometric modeling and forecasting
- Optimal forecasts in the presence of structural breaks
- Adaptive forecasting in the presence of recent and ongoing structural change
- Consistent factor estimation in dynamic factor models with structural instability
- Forecasting by factors, by variables, by both or neither?
- Inference on stochastic time-varying coefficient models
- Small sample properties of forecasts from autoregressive models under structural breaks
- Greedy algorithms for prediction
- Infinite Markov pooling of predictive distributions
- Structural changes in inflation dynamics: multiple breaks at different dates for different parameters
- Dirichlet process hidden Markov multiple change-point model
- Selection of estimation window in the presence of breaks
- Testing for structural change in regression quantiles
- Time series forecasting model based on weighted variable structure
- Delay times of sequential procedures for multiple time series regression models
- Detecting and Predicting Forecast Breakdowns
- Bayesian estimation of a Markov-switching threshold asymmetric GARCH model with Student-t innovations
- Forecasting in dynamic factor models subject to structural instability
- A Markov-switching generalized additive model for compound Poisson processes, with applications to operational loss models
- Multi‐step forecasting in the presence of breaks
- Adaptive dynamic Nelson-Siegel term structure model with applications
- Markov breaks in regression models
- Stock return predictability: a factor-augmented predictive regression system with shrinkage method
- A Bayesian multiple structural change regression model with autocorrelated errors
- Learning, Structural Instability, and Present Value Calculations
- Forecasting in the presence of structural breaks and policy regime shifts
- Detection of Multiple Structural Breaks in Multivariate Time Series
- Forecasting behavior in instable environments
- Estimation and Forecasting in Models with Multiple Breaks
- Sparse change-point HAR models for realized variance
- Forecasting with non-homogeneous hidden Markov models
- Forecasting with non-homogeneous hidden Markov models
- Statistical analysis of the non-stationary binomial AR(1) model with change point
- Structural Breaks in Grouped Heterogeneity
- Forecasting Macroeconomic Variables Under Model Instability
- Learning and Index Option Returns
- Variable selection in high dimensional linear regressions with parameter instability
- Out-of-sample equity premium prediction: a voting approach to forecast combination
- Noncommon Breaks
- Linking Frequentist and Bayesian Change-Point Methods
- An empirical evaluation of some long-horizon macroeconomic forecasts
- Sequential Monitoring for Changes in Dynamic Semiparametric Risk Models
- Forecasting with equilibrium-correction models during structural breaks
- Inference and prediction in a multiple-structural-break model
- Editorial. Annals issue on forecasting -- guest editors' introduction
- Predictability of stock returns and asset allocation under structural breaks
- Methods for measuring expectations and uncertainty in Markov-switching models
- Modeling structural breaks in economic relationships using large shocks
This page was built for publication: Forecasting Time Series Subject to Multiple Structural Breaks
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3421396)
