Small sample properties of forecasts from autoregressive models under structural breaks

DOI10.1016/j.jeconom.2004.09.007zbMath1337.62295MaRDI QIDQ265113

M. Hashem Pesaran, Allan G. 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

zbMATH Keywords

autoregression; structural breaks; MSFE; rolling window estimator; small sample properties of forecasts

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M20: Inference from stochastic processes and prediction

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

91B84: Economic time series analysis

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