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...

書誌詳細
主要な著者:	Clements, M, Hendry, D
その他の著者:	Elliot, G
フォーマット:	Book section
言語:	English
出版事項:	Elsevier 2006
主題:	Economics

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