Model Instability and Choice of Observation Window
Year of publication: |
1999-09-01
|
---|---|
Authors: | Pesaran, Hashem ; Timmermann, Allan |
Institutions: | Department of Economics, University of California-San Diego (UCSD) |
Subject: | parameter instability | forecasting | expanding and rolling window | reversed Cusum or Cusum squared tests | multiple breaks | choice of observation window | predictability of US stock returns |
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