Small sample properties of forecasts from autoregressive models under structural breaks
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Cites work
- scientific article; zbMATH DE number 3179103 (Why is no real title available?)
- scientific article; zbMATH DE number 897115 (Why is no real title available?)
- scientific article; zbMATH DE number 3103039 (Why is no real title available?)
- A new test for structural stability in the linear regression model
- Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation
- Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
- BIAS IN THE ESTIMATION OF AUTOCORRELATIONS
- CONVERGENT SERIES EXPRESSIONS FOR INVERSE MOMENTS OF QUADRATIC FORMS IN NORMAL VARIABLES
- Corrigenda: Properties of Predictors for Autoregressive Time Series
- Estimating and Testing Linear Models with Multiple Structural Changes
- Forecasting non-stationary economic time series. With a foreword by Katarina Juselius
- Moment approximation for least‐squares estimators in dynamic regression models with a unit root
- Monitoring Structural Change
- NOTE ON BIAS IN THE ESTIMATION OF AUTOCORRELATION
- Optimal changepoint tests for normal linear regression
- Structural change in AR(1) models
- Testing For Unit Roots: 1
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- Tests of Conditional Predictive Ability
- The exact moments of the least squares estimator for the autoregressive model
- Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance
Cited in
(23)- Input perturbations for adaptive control and learning
- Structural-break models under mis-specification: implications for forecasting
- Finite time identification in unstable linear systems
- Shrinkage estimation and forecasting in dynamic regression models under structural instability
- 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
- Forecasting by factors, by variables, by both or neither?
- Break detectability and mean square forecast error ratios for selecting estimation windows
- On sample skewness and kurtosis
- Long memory and fractional differencing: revisiting Clive W. J. Granger's contributions and further developments
- Does modeling a structural break improve forecast accuracy?
- Persistence change tests and shifting stable autoregressions
- Testing Parameter Constancy in Unit Root Autoregressive Models Against Multiple Continuous Structural Changes
- Modelling structural breaks, long memory and stock market volatility: an overview
- Dynamic Vector Mode Regression
- Variable selection, estimation and inference for multi-period forecasting problems
- 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
- Selection of an estimation window in the presence of data revisions and recent structural breaks
- Forecasting a long memory process subject to structural breaks
- The effects of small sample bias in threshold autoregressive models
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