Small sample properties of forecasts from autoregressive models under structural breaks
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Publication:265113
DOI10.1016/J.JECONOM.2004.09.007zbMATH Open1337.62295OpenAlexW3122810100MaRDI QIDQ265113FDOQ265113
Authors: M. Hashem Pesaran, Allan Timmermann 
Publication date: 1 April 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://www.econ.cam.ac.uk/research-files/repec/cam/pdf/cwpe0331.pdf
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Cites Work
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Cited In (23)
- Consistent factor estimation in dynamic factor models with structural instability
- Optimal forecasts in the presence of structural breaks
- Selection of estimation window in the presence of breaks
- Dynamic Vector Mode Regression
- Finite time identification in unstable linear systems
- Structural-break models under mis-specification: implications for forecasting
- Forecasting by factors, by variables, by both or neither?
- Long memory and fractional differencing: revisiting Clive W. J. Granger's contributions and further developments
- Persistence change tests and shifting stable autoregressions
- The effects of small sample bias in threshold autoregressive models
- Selection of an estimation window in the presence of data revisions and recent structural breaks
- Forecasting a long memory process subject to structural breaks
- On sample skewness and kurtosis
- Multi‐step forecasting in the presence of breaks
- Forecast accuracy and effort: the case of US inflation rates
- Bootstrap rolling-window Granger causality dynamics between momentum and sentiment: implications for investors
- Shrinkage estimation and forecasting in dynamic regression models under structural instability
- Input perturbations for adaptive control and learning
- Does modeling a structural break improve forecast accuracy?
- Variable selection, estimation and inference for multi-period forecasting problems
- Modelling structural breaks, long memory and stock market volatility: an overview
- Break detectability and mean square forecast error ratios for selecting estimation windows
- Testing Parameter Constancy in Unit Root Autoregressive Models Against Multiple Continuous Structural Changes
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