This paper applies combining forecasts of air travel demand generated from the same model but over different estimation windows. The combination approach used resorts to Pesaran and Pick (2011), but the empirical application is extended in several ways. The forecasts are based on a seasonal...

This paper applies combining forecasts of air travel demand generated from the same model but over different estimation windows. The combination approach used resorts to Pesaran and Pick (2011), but the empirical application is extended in several ways. The forecasts are based on a seasonal...

This paper mainly studies the effect of deregulation on prices and quantity. For this aim, we employ cointegration methodology with structural breaks to empirically investigate the simultaneous relationship between deregulation, ticket prices, and the number of passengers in the Turkish airline...

This paper mainly studies the effect of deregulation on prices and quantity. For this aim, we employ cointegration methodology with structural breaks to empirically investigate the simultaneous relationship between deregulation, ticket prices, and the number of passengers in the Turkish airline...

We analyze the relationship between the prices of ethanol, agricultural commodities and livestock in Nebraska, the U.S. second largest ethanol producer. The paper focuses on long-run relations and Granger causality linkages between ethanol and the other commodities. The analysis takes possible...

In this paper we evaluate the performance of several structural break tests under various DGPs. Concretely we look at size and power properties of CUSUM based, LM and Wald volatility break tests. In a simulation study we derive the properties of the tests under shifts in the unconditional and...

We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are generated from a so-called baseline prior...

The paper analyzes leading indicators for GDP and industrial production in Germany. We focus on the performance of single and pooled leading indicators during the pre-crisis and crisis period using various weighting schemes. Pairwise and joint significant tests are used to evaluate single...

The paper analyzes leading indicators for GDP and industrial production in Germany. We focus on the performance of single and pooled leading indicators during the pre-crisis and crisis period using various weighting schemes. Pairwise as well as joint significant tests are used to evaluate single...

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...