Structural-Break Models under Mis-Specification: Implications for Forecasting
نویسندگان
چکیده
منابع مشابه
Structural-break Models under Mis-specification: Implications for Forecasting
This paper revisits the least squares estimator of the linear regression with a structural break. We view the model as an approximation to the true data generating process whose exact nature is unknown but perhaps changing over time either continuously or with some jumps. This view is widely held in the forecasting literature and under this view, the time series dependence property of all the o...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2013
ISSN: 1556-5068
DOI: 10.2139/ssrn.2253679