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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Dettagli Bibliografici
Autori principali: Clements, M, Hendry, D
Altri autori: Elliot, G
Natura: Book section
Lingua:English
Pubblicazione: Elsevier 2006
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Forecasting with breaks. di Clements, M, Hendry, D

Pubblicazione 2006
Book section