Selection of an estimation window in the presence of data revisions and recent structural breaks
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Publication:1669833
DOI10.1515/jem-2015-0021zbMath1400.62320OpenAlexW1949615650MaRDI QIDQ1669833
Publication date: 4 September 2018
Published in: Journal of Econometric Methods (Search for Journal in Brave)
Full work available at URL: https://trepo.tuni.fi/handle/10024/100063
Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20)
Related Items (2)
Selection of an estimation window in the presence of data revisions and recent structural breaks ⋮ Multi‐step forecasting in the presence of breaks
Cites Work
- Small sample properties of forecasts from autoregressive models under structural breaks
- Selection of estimation window in the presence of breaks
- Modeling data revisions: measurement error and dynamics of ``true values
- Strong rules for detecting the number of breaks in a time series
- Selection of an estimation window in the presence of data revisions and recent structural breaks
- Optimal changepoint tests for normal linear regression
- Optimal forecasts in the presence of structural breaks
- Adaptive forecasting in the presence of recent and ongoing structural change
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- Estimating and Testing Linear Models with Multiple Structural Changes
- Tests of Conditional Predictive Ability
- Forecast Combination Across Estimation Windows
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