Showing 1 - 4 of 4
Detection of structural change is a critical empirical activity, but continuous 'monitoring' of series, for structural changes in real time, raises well-known econometric issues that have been explored in a single series context. If multiple series co-break then it is possible that simultaneous...
Persistent link: https://www.econbiz.de/10003933923
We consider time series forecasting in the presence of ongoing structural change where both the time series dependence and the nature of the structural change are unknown. Methods that downweight older data, such as rolling regressions, forecast averaging over different windows and exponentially...
Persistent link: https://www.econbiz.de/10009510653
Persistent link: https://www.econbiz.de/10003370493
Persistent link: https://www.econbiz.de/10003370498