Clements, Michael P.; Hendry, David F.; Elliot, G.; … - 2006
their relevance in forecasting models: (a) where the breaks occur after forecasts are announced; and (b) where they occur in …-sample and hence pre-forecasting. The impact on forecasts depends on which features of the models are non-constant. Different … parameters of a particular model, the consequences for forecasting are specific to the type of break and form of model. We …
