Optimal forecasts in the presence of structural breaks
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Cites work
- scientific article; zbMATH DE number 3155238 (Why is no real title available?)
- scientific article; zbMATH DE number 3502628 (Why is no real title available?)
- A simple recursive forecasting model
- Convergence in monetary inflation models with heterogeneous learning rules
- Critical values for multiple structural change tests
- Detecting and Predicting Forecast Breakdowns
- Estimating and Testing Linear Models with Multiple Structural Changes
- Estimation and Forecasting in Models with Multiple Breaks
- Forecast combination across estimation windows
- Forecasting Time Series Subject to Multiple Structural Breaks
- Forecasting non-stationary economic time series. With a foreword by Katarina Juselius
- Forecasting with exponential smoothing. The state space approach
- Handbook of economic forecasting. Volume 1
- Inference about the change-point in a sequence of random variables
- Model uncertainty and exchange rate volatility
- Optimal changepoint tests for normal linear regression
- 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
- Variable selection, estimation and inference for multi-period forecasting problems
Cited in
(18)- Using Chernoff’s Bounding Method for High-Performance Structural Break Detection and Forecast Error Reduction
- Better the devil you know: improved forecasts from imperfect models
- Selection of estimation window in the presence of breaks
- Long‐term prediction intervals with many covariates
- Markov breaks in regression models
- Structural-break models under mis-specification: implications for forecasting
- Analyzing cross-validation for forecasting with structural instability
- Forecasting volatility using combination across estimation windows: an application to S\&P500 stock market index
- Optimal Forecasts from Markov Switching Models
- Selection of an estimation window in the presence of data revisions and recent structural breaks
- Rolling window selection for out-of-sample forecasting with time-varying parameters
- Forecasting Time Series Subject to Multiple Structural Breaks
- Shrinkage estimation and forecasting in dynamic regression models under structural instability
- Does modeling a structural break improve forecast accuracy?
- Variable selection in high dimensional linear regressions with parameter instability
- Escape dynamics: a continuous-time approximation
- Estimating large-scale general linear and seemingly unrelated regressions models after deleting observations
- Forecasting with GARCH models under structural breaks: An approach based on combinations across estimation windows
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