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...

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Detalles Bibliográficos
Main Authors: Clements, M, Hendry, D
Outros autores: Elliot, G
Formato: Book section
Idioma:English
Publicado: Elsevier 2006
Subjects:

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