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...
| Автори: | , |
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| Формат: | Book section |
| Мова: | English |
| Опубліковано: |
Elsevier
2006
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