Selection of an estimation window in the presence of data revisions and recent structural breaks
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Recommendations
- Selection of estimation window in the presence of breaks
- Break detectability and mean square forecast error ratios for selecting estimation windows
- Rolling window selection for out-of-sample forecasting with time-varying parameters
- Forecast combination across estimation windows
- Multi‐step forecasting in the presence of breaks
Cites work
- Adaptive forecasting in the presence of recent and ongoing structural change
- Estimating and Testing Linear Models with Multiple Structural Changes
- Forecast combination across estimation windows
- Modeling data revisions: measurement error and dynamics of ``true values
- Optimal changepoint tests for normal linear regression
- Optimal forecasts in the presence of structural breaks
- Selection of an estimation window in the presence of data revisions and recent structural breaks
- Selection of estimation window in the presence of breaks
- Small sample properties of forecasts from autoregressive models under structural breaks
- Strong rules for detecting the number of breaks in a time series
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- Tests of Conditional Predictive Ability
Cited in
(5)- Rolling window selection for out-of-sample forecasting with time-varying parameters
- Selection of estimation window in the presence of breaks
- Break detectability and mean square forecast error ratios for selecting estimation windows
- Multi‐step forecasting in the presence of breaks
- Selection of an estimation window in the presence of data revisions and recent structural breaks
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