Selection of estimation window in the presence of breaks

DOI10.1016/j.jeconom.2006.03.010zbMath1360.62385MaRDI QIDQ278494

M. Hashem Pesaran, Allan G. Timmermann

Publication date: 2 May 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2006.03.010

zbMATH Keywords

forecast combination; choice of observation window; forecasting with breaks; parameter instability

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62J05: Linear regression; mixed models

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