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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| Aineistotyyppi: | Book section |
| Kieli: | English |
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Elsevier
2006
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| Aiheet: |
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