This paper considers forecast averaging when the same model is used but estimation is carried out over different … estimation windows. It develops theoretical results for random walks when their drift and/or volatility are subject to one or … more structural breaks. It is shown that compared to using forecasts based on a single estimation window, averaging over …

direct forecasts when estimation error is a first-order concern, i.e. in small samples and for long forecast horizons …

. We discuss estimation of impulse response functions and variance decompositions in such large systems, and present …