Learning, forecasting and structural breaks
نویسندگان
چکیده
منابع مشابه
Learning, Forecasting and Structural Breaks
The literature on structural breaks focuses on ex post identification of break points that may have occurred in the past. While this question is important, a more challenging problem facing econometricians is to provide forecasts when the data generating process is unstable. The purpose of this paper is to provide a general methodology for forecasting in the presence of model instability. We ma...
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ژورنال
عنوان ژورنال: Journal of Applied Econometrics
سال: 2008
ISSN: 0883-7252,1099-1255
DOI: 10.1002/jae.1018