A machine learning dynamic switching approach to forecasting when there are structural breaks
Forecasting economic indicators is an important task for analysts. However, many indicators suffer from structural breaks leading to forecast failure. Methods that are robust following a structural break have been proposed in the literature but they come at a cost: an increase in forecast error vari...
| Hoofdauteurs: | , |
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| Formaat: | Working paper |
| Taal: | English |
| Gepubliceerd in: |
University of Oxford
2021
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