Giraitis, Liudas; Kapetanios, George; Price, Simon - In: Journal of Econometrics 177 (2013) 2, pp. 153-170
, forecast averaging over different windows and exponentially weighted moving averages, known to be robust to historical … structural change, are found also to be useful in the presence of ongoing structural change in the forecast period. A crucial … data-dependent by minimising the forecast mean square error, and provide a detailed theoretical analysis of our proposal …