Testing for Changes in Forecasting Performance
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Cites work
- A comparison of alternative methods to construct confidence intervals for the estimate of a break date in linear regression models
- A mixture‐distribution factor model for multivariate outliers
- A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change
- Assessing the relative power of structural break tests using a framework based on the approximate Bahadur slope
- Detecting and Predicting Forecast Breakdowns
- Econometric Theory and Practice
- Estimating and Testing Linear Models with Multiple Structural Changes
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Improved tests for forecast comparisons in the presence of instabilities
- Likelihood analysis of seasonal cointegration
- Nonmonotonic power for tests of a mean shift in a time series§
- On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests
- Testing for Higher Order Serial Correlation in Regression Equations when the Regressors Include Lagged Dependent Variables
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
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