PESARAN, HASHEM; PETTENUZZO, DAVIDE; TIMMERMANN, ALLAN - In: Review of Economic Studies 73 (2006) 4, pp. 1057-1084
This paper provides a new approach to forecasting time series that are subject to discrete structural breaks. We propose a Bayesian estimation and prediction procedure that allows for the possibility of new breaks occurring over the forecast horizon, taking account of the size and duration of...