Ciapanna, Emanuela; Taboga, Marco - In: Econometrics : open access journal 7 (2019) 3/29, pp. 1-32
analyze its finite-sample properties. We find that the estimation precision and the forecasting accuracy of the TVC model … the TVC model is its robustness to mis-specification: Its performance is also satisfactory when regression coefficients … are stable or when they experience discrete structural breaks. As a demonstrative application, we used our TVC model to …