This paper considers forecast averaging when the same model is used but estimation is carried out over different … estimation windows leads to a lower bias and to a lower root mean square forecast error for all but the smallest of breaks …

This paper considers forecast averaging when the same model is used but estimation is carried out over different … estimation windows leads to a lower bias and to a lower root mean square forecast error for all but the smallest of breaks …

forecast and the realization and on the ability to forecast the sign or direction of a time-series that is subject to breaks …

forecast error of one-step-ahead forecasts, both conditionally and unconditionally and present numerical results for different …

Bayesian estimation and prediction procedure that allows for the possibility of new breaks over the forecast horizon, taking …

forecast and the realization and on the ability to forecast the sign or direction of a time-series that is subject to breaks …