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Optimal forecasts in the presence of discrete structural breaks under long memory

Mboya, Mwasi Paza; Sibbertsen, Philipp - 2022

taken into account. Using Monte Carlo simulations, we confirm that our methods substantially improve the forecasting …

Persistent link: https://www.econbiz.de/10014247842

Optimal forecasts in the presence of discrete structural breaks under long memory

Mboya, Mwasi Paza; Sibbertsen, Philipp - In: Journal of forecasting 42 (2023) 7, pp. 1889-1908

Persistent link: https://www.econbiz.de/10014432798

Forecasting a long memory process subject to structural breaks

Wang, Cindy Shin Huei; Bauwens, Luc; Hsiao, Cheng - In: Journal of econometrics 177 (2013) 2, pp. 171-184

Persistent link: https://www.econbiz.de/10010254878

Optimal forecasts in the presence of structural breaks

Pesaran, M. Hashem; Pick, Andreas; Pranovich, Mikhail - In: Journal of econometrics 177 (2013) 2, pp. 134-152

Persistent link: https://www.econbiz.de/10010254881

Structural-break models under mis-specification : implications for forecasting

Koo, Bonsoo; Seo, Myung Hwan - In: Journal of econometrics 188 (2015) 1, pp. 166-181

Persistent link: https://www.econbiz.de/10011500287

An alternative Bayesian approach to structural breaks in time series models

Hauwe, Sjoerd van den; Paap, Richard; Dijk, Dick van - 2011

We propose a new approach to deal with structural breaks in time series models. The key contribution is an alternative dynamic stochastic specification for the model parameters which describes potential breaks. After a break new parameter values are generated from a so-called baseline prior...

Persistent link: https://www.econbiz.de/10011383033