Forecasting Macroeconomic Variables Under Model Instability

DOI10.1080/07350015.2015.1051183zbMATH Open1546.62982MaRDI QIDQ6616606

Davide Pettenuzzo, Allan Timmermann

Publication date: 9 October 2024

Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• Title not available (Why is that?)
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• Finite mixture and Markov switching models.
• Real-Time Density Forecasts From Bayesian Vector Autoregressions With Stochastic Volatility
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• Efficient Tests for General Persistent Time Variation in Regression Coefficients
• Forecasting Time Series Subject to Multiple Structural Breaks
• An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Markov chain Monte Carlo Estimation of Classical and Dynamic Switching and Mixture Models
• Bayes Factors
• Time Varying Structural Vector Autoregressions and Monetary Policy

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