Detecting and Predicting Forecast Breakdowns
From MaRDI portal
Publication:3394001
DOI10.1111/j.1467-937X.2009.00545.xzbMath1168.91442OpenAlexW3123711421MaRDI QIDQ3394001
Barbara Rossi, Raffaella Giacomini
Publication date: 28 August 2009
Published in: Review of Economic Studies (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-937x.2009.00545.x
Related Items (10)
Rolling window selection for out-of-sample forecasting with time-varying parameters ⋮ Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models ⋮ Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings ⋮ Asymptotic inference about predictive accuracy using high frequency data ⋮ Testing for structural stability of factor augmented forecasting models ⋮ Optimal forecasts in the presence of structural breaks ⋮ Goodness-of-fit test for specification of semiparametric copula dependence models ⋮ Estimating the term structure of commodity market preferences ⋮ Understanding models' forecasting performance ⋮ Does modeling a structural break improve forecast accuracy?
This page was built for publication: Detecting and Predicting Forecast Breakdowns