Forecasting with breaks
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 oc...
Váldodahkkit: | , |
---|---|
Eará dahkkit: | |
Materiálatiipa: | Book section |
Giella: | English |
Almmustuhtton: |
Elsevier
2006
|
Fáttát: |