Showing 1 - 2 of 2
Persistent link: https://www.econbiz.de/10010254881
This paper considers the problem of forecasting under continuous and discrete structural breaks and proposes weighting observations to obtain optimal forecasts in the MSFE sense. We derive optimal weights for one step ahead forecasts. Under continuous breaks, our approach largely recovers...
Persistent link: https://www.econbiz.de/10010709433