Bauwens, Luc; Koop, Gary; Korobilis, Dimitris; … - Centre Interuniversitaire sur le Risque, les Politiques … - 2011
This paper compares the forecasting performance of different models which have been proposed for forecasting in the presence of structural breaks. These models differ in their treatment of the break process, the parameters defining the model which applies in each regime and the out-of-sample...
