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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Bibliographic Details
Main Authors: Clements, M, Hendry, D
Other Authors: Elliott, G
Format: Book section
Published: Elsevier 2006