Selection of estimation window in the presence of breaks
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Publication:278494
DOI10.1016/j.jeconom.2006.03.010zbMath1360.62385OpenAlexW2106019945MaRDI 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
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Cites Work
- The power of tests of predictive ability in the presence of structural breaks
- Small sample properties of forecasts from autoregressive models under structural breaks
- Handbook of economic forecasting. Volume 1
- A new test for structural stability in the linear regression model
- Strong rules for detecting the number of breaks in a time series
- Optimal changepoint tests for normal linear regression
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- Tests of Equality Between Sets of Coefficients in Two Linear Regressions
- Forecasting Time Series Subject to Multiple Structural Breaks
- Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
- Estimating and Testing Linear Models with Multiple Structural Changes
- Monitoring Structural Change
- Tests of equal forecast accuracy and encompassing for nested models
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