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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Dettagli Bibliografici
Autori principali:	Clements, M, Hendry, D
Altri autori:	Elliot, G
Natura:	Book section
Lingua:	English
Pubblicazione:	Elsevier 2006
Soggetti:	Economics

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