Optimal forecasts in the presence of structural breaks
DOI10.1016/J.JECONOM.2013.04.002zbMATH Open1288.62140OpenAlexW2129768001MaRDI QIDQ2453077FDOQ2453077
Authors: M. Hashem Pesaran, Andreas Pick, Mikhail Pranovich 
Publication date: 6 June 2014
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://www.dnb.nl/en/binaries/Working%20Paper%20327_tcm47-264135.pdf
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Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; economic indices and measures (91B82) Statistical methods; risk measures (91G70)
Cites Work
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- Detecting and Predicting Forecast Breakdowns
- Handbook of economic forecasting. Volume 1
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- Estimation and Forecasting in Models with Multiple Breaks
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- Selection of estimation window in the presence of breaks
- A simple recursive forecasting model
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- Variable selection, estimation and inference for multi-period forecasting problems
- Model uncertainty and exchange rate volatility
Cited In (18)
- Better the devil you know: improved forecasts from imperfect models
- Using Chernoff’s Bounding Method for High-Performance Structural Break Detection and Forecast Error Reduction
- Long‐term prediction intervals with many covariates
- Selection of estimation window in the presence of breaks
- Markov breaks in regression models
- Structural-break models under mis-specification: implications for forecasting
- Analyzing cross-validation for forecasting with structural instability
- Optimal Forecasts from Markov Switching Models
- Forecasting volatility using combination across estimation windows: an application to S\&P500 stock market index
- 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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