Selection of an estimation window in the presence of data revisions and recent structural breaks

DOI10.1515/JEM-2015-0021zbMATH Open1400.62320OpenAlexW1949615650MaRDI QIDQ1669833FDOQ1669833

Authors: Jari Hännikäinen 

Publication date: 4 September 2018

Published in: Journal of Econometric Methods (Search for Journal in Brave)

Full work available at URL: https://trepo.tuni.fi/handle/10024/100063

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

zbMATH Keywords

forecastingreal-time datachoice of estimation windowrecent structural break

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)

Cites Work

• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Estimating and Testing Linear Models with Multiple Structural Changes
• Tests of Conditional Predictive Ability
• Adaptive forecasting in the presence of recent and ongoing structural change
• Forecast combination across estimation windows
• Modeling data revisions: measurement error and dynamics of ``true values
• Optimal changepoint tests for normal linear regression
• Small sample properties of forecasts from autoregressive models under structural breaks
• Strong rules for detecting the number of breaks in a time series
• Selection of estimation window in the presence of breaks
• Optimal forecasts in the presence of structural breaks
• Selection of an estimation window in the presence of data revisions and recent structural breaks

Cited In (5)

• Selection of estimation window in the presence of breaks
• Selection of an estimation window in the presence of data revisions and recent structural breaks
• Multi‐step forecasting in the presence of breaks
• Rolling window selection for out-of-sample forecasting with time-varying parameters
• Break detectability and mean square forecast error ratios for selecting estimation windows

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