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~institution:"C.E.P.R. Discussion Papers"
~institution:"Department of Economics and Business, Universitat Pompeu Fabra"
~institution:"Econometric Society"
~institution:"Faculty of Economics, University of Cambridge"
~isPartOf:"Cambridge Working Papers in Economics"
~subject:"autoregression"
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C.E.P.R. Discussion Papers
Department of Economics and Business, Universitat Pompeu Fabra
Econometric Society
Faculty of Economics, University of Cambridge
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Small Sample Properties of Forecasts from Autoregressive Models under
Structural
Breaks
Pesaran, M.H.
;
Timmermann, A.
-
Faculty of Economics, University of Cambridge
-
2003
financial time series are likely to be subject to
structural
breaks
. This paper develops a theoretical framework for the …
Persistent link: https://www.econbiz.de/10005783863
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