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...
| Hoofdauteurs: | , |
|---|---|
| Andere auteurs: | |
| Formaat: | Book section |
| Taal: | English |
| Gepubliceerd in: |
Elsevier
2006
|
| Onderwerpen: |
Search Result 1
