Small sample properties of forecasts from autoregressive models under structural breaks

Journal of Econometrics

Volumn 129, Issue 1-2, 2005, Pages 183-217

  Pesaran, M Hashem ^a   Timmermann, Allan ^b  

^a UNIVERSITY OF CAMBRIDGE   (United Kingdom)

^b UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Autoregression; MSFE; Rolling window estimator; Small sample properties of forecasts; Structural breaks

Indexed keywords

COMPUTER SIMULATION; ERROR ANALYSIS; MATHEMATICAL MODELS; MONTE CARLO METHODS; REGRESSION ANALYSIS;

AUTOREGRESSION; MSFE; ROLLING WINDOW ESTIMATORS; SMALL SAMPLE PROPERTIES OF FORECASTS; STRUCTURAL BREAKS;

FORECASTING;

EID: 26844526698     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2004.09.007     Document Type: Article

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