Testing for Changes in Forecasting Performance
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Publication:6617742
DOI10.1080/07350015.2019.1641410zbMATH Open1547.62883MaRDI QIDQ6617742
Publication date: 11 October 2024
Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)
Cites Work
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- A non-local perspective on the power properties of the CUSUM and CUSUM of squares tests for structural change
- Assessing the relative power of structural break tests using a framework based on the approximate Bahadur slope
- Likelihood analysis of seasonal cointegration
- Improved tests for forecast comparisons in the presence of instabilities
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- Detecting and Predicting Forecast Breakdowns
- Testing for Higher Order Serial Correlation in Regression Equations when the Regressors Include Lagged Dependent Variables
- Estimating and Testing Linear Models with Multiple Structural Changes
- The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
- Nonmonotonic power for tests of a mean shift in a time series§
- A mixture‐distribution factor model for multivariate outliers
- Econometric Theory and Practice
- A comparison of alternative methods to construct confidence intervals for the estimate of a break date in linear regression models
- On the Usefulness or Lack Thereof of Optimality Criteria for Structural Change Tests
Related Items (2)
Prewhitened long-run variance estimation robust to nonstationarity ⋮ Estimating a common break point in means for long-range dependent panel data
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