Chudik, Alexander; Pesaran, M. Hashem; Sharifvaghefi, Mahrad - 2020
This paper is concerned with problem of variable selection and forecasting in the presence of parameter instability …. There are a number of approaches proposed for forecasting in the presence of breaks, including the use of rolling windows or … variable selection and forecasting stages. In this study, we investigate whether or not we should use weighted observations at …
