Does modeling a structural break improve forecast accuracy?
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Publication:2295799
DOI10.1016/j.jeconom.2019.07.007zbMath1456.62272OpenAlexW2973927233WikidataQ127229593 ScholiaQ127229593MaRDI QIDQ2295799
Publication date: 17 February 2020
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://pure.rug.nl/ws/files/101447150/Boot_Pick_2019.pdf
Applications of statistics to economics (62P20) Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)
Related Items
Cites Work
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