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Selection of estimation window in the presence of breaks · Study

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ArticleSelection of estimation window in the presence of breaks

M. Hashem Pesaran2006

Article2006

Selection of estimation window in the presence of breaks

M. Hashem Pesaran · Allan Timmermann

473 citations·0/0 files stored·Journal of Econometrics

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Forecasting Techniques and Applications Statistical Methods and Inference Statistical and numerical algorithms

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References

1993Tests for Parameter Instability and Structural Change With Unknown Change Point 1989Combining forecasts: A review and annotated bibliography 1990Combining forecasts: A review and annotated bibliography 2006Chapter 4 Forecast Combinations 2013Handbook of Economic Forecasting 1994Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance 2001Tests of equal forecast accuracy and encompassing for nested models 1992Tests for Parameter Instability in Regressions with 1(1) Processes

Cited by

2020Corn Cash Price Forecasting 2012Out-of-Sample Forecast Tests Robust to the Choice of Window Size 2016Rolling window selection for out-of-sample forecasting with time-varying parameters 2012A comprehensive look at financial volatility prediction by economic variables 2022How is machine learning useful for macroeconomic forecasting?2009Forecasting economic and financial variables with global VARs

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Details

Year2006

Typearticle

Published2006-04-27

VenueJournal of Econometrics

ISSN-L0304-4076

Languageen

Citations473

Files0 public / 0

ShelfForecasting Techniques and Applications

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doi10.1016/j.jeconom.2006.03.010

openalex_workW2106019945

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