Giraitis, Liudas; Kapetanios, George; Price, Simon - Bank of England - 2014
We consider time series forecasting in the presence of ongoing structural change where both the time-series dependence … and the nature of the structural change are unknown. Methods that downweight older data, such as rolling regressions … structural change, are found also to be useful in the presence of ongoing structural change in the forecast period. A crucial …