Forecasting with breaks

Forecasting with breaks

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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...

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Dades bibliogràfiques
Autors principals:	Clements, M, Hendry, D
Altres autors:	Elliot, G
Format:	Book section
Idioma:	English
Publicat:	Elsevier 2006
Matèries:	Economics

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