This paper investigates the timing, frequency and the impact of structural breaks on the stability of the predictive content of a large number of financial variables for Canada's output growth. The forecasts are evaluated over two identified out-of-sample regimes using both the equal accuracy...

The paper evaluates the reliability of the information content of individual financial variables for Canada’s future output growth. We estimate the timing of structural changes in linear growth models and check robustness to specification changes, multiple breaks, and business cycle...

This paper examines structural change tests based on generalized empirical likelihood methods in the time series context. Standard structural change tests for GMM with strongly identified parameters are adapted to the GEL context. We show that when moment conditions are properly smoothed, these...

This paper proposes Pearson-type statistics based on implied probabilities to detect structural change. The class of generalized empirical likelihood estimators (see Smith (1997)) assigns a set of implied probabilities to each observation such that moment conditions are satisfied. The proposed...

This paper proposes Pearson-type statistics based on implied probabilities to detect structural change. The class of generalized empirical likelihood estimators (see Smith, 1997) assigns a set of probabilities to each observation such that moment conditions are satisfied. These restricted...

To forecast at several, say h, periods into the future, a modeller faces two techniques: iterating one-step ahead forecasts (the IMS technique) or directly modelling the relation between observations separated by an h-period interval and using it for forecasting (DMS forecasting). It is known...

Structural models` inflation forecasts are often inferior to those of naive devices. This chapter theoretically and empirically assesses this for UK annual and quarterly inflation, using the theoretical framework in Clements and Hendry (1998, 1999). Forecasts from equilibrium-correction...