This paper provides a novel approach to forecasting time series subject to discrete structural breaks. We propose a …

This paper conducts a broad-based comparison of iterated and direct multi-step forecasting approaches applied to both … factor-augmented vector autoregression approach, improves forecasting performance for many variables, particularly at short …

For forecasting and economic analysis many variables are used in logarithms (logs). In time series analysis this … beneficial for forecasting. Forecasts based on the original series are compared to forecasts based on logs. It is found that it … substantial forecasting improvements from taking logs are found if the log transformation actually stabilizes the variance of the …

exhibit fractional integration with one or two poles in the spectrum. A forecasting comparison shows that a model with a non …

. Our results suggest that it can be very costly to ignore breaks. Forecasting approaches that condition on the most recent …