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...
Main Authors: | Clements, M, Hendry, D |
---|---|
Other Authors: | Elliott, G |
Format: | Book section |
Published: |
Elsevier
2006
|
Similar Items
-
Forecasting with breaks
by: Clements, M, et al.
Published: (2006) -
Economic Forecasting in the Face of Structural Breaks.
by: Hendry, D, et al.
Published: (2000) -
An overview of forecasting facing breaks
by: Castle, J, et al.
Published: (2016) -
An overview of forecasting facing breaks
by: Castle, J, et al.
Published: (2016) -
Forecasting breaks and forecasting during breaks
by: Castle, J, et al.
Published: (2011)