Forecasting Time Series Subject to Multiple Structural Breaks

DOI10.1111/j.1467-937X.2006.00408.xzbMath1201.91156OpenAlexW3126079314MaRDI QIDQ3421396

Davide Pettenuzo, M. Hashem Pesaran, Allan G. Timmermann

Publication date: 12 February 2007

Published in: Review of Economic Studies (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-937x.2006.00408.x

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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