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Forecasting with breaks

Abstract:

A structural break is viewed as a permanent change in the parameter vector of a model. Using taxonomies of all sources of forecast errors for both conditional mean and conditional variance processes, we consider the impacts of breaks and their relevance in forecasting models: (a) where the breaks occur after forecasts are announced; and (b) where they occur in-sample and hence pre-forecasting. The impact on forecasts depends on which features of the models are non-constant. Different models a...

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Publication status:
Published
Peer review status:
Peer reviewed

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Institution:
University of Warwick
Department:
Economics Department
Role:
Author
More by this author
Institution:
University of Oxford
Division:
SSD
Department:
Economics
Research group:
Econometrics
Oxford college:
Nuffield College
Role:
Author

Contributors

Role:
Editor
Role:
Editor
Role:
Editor
Publisher:
Elsevier Publisher's website
Volume:
1
Pages:
605-657
Host title:
Handbook of Economic Forecasting
Publication date:
2006-01-01
DOI:
ISBN:
9780444513953
Language:
English
Keywords:
Subjects:
UUID:
uuid:57326bea-2a8c-4b9a-a1d3-2e39b22bb960
Local pid:
ora:1932
Deposit date:
2008-05-13

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