Optimal forecasts in the presence of structural breaks

Journal of Econometrics

Volumn 177, Issue 2, 2013, Pages 134-152

  Pesaran, M Hashem ^a,b   Pick, Andreas ^c,d   Pranovich, Mikhail ^e  

^a UNIVERSITY OF SOUTHERN CALIFORNIA   (United States)

^b TRINITY COLLEGE   (United Kingdom)

^c ERASMUS UNIVERSITY ROTTERDAM   (Netherlands)

^d DE NEDERLANDSCHE BANK   (Netherlands)

^e Joint Vienna Institute   (Austria)

Author keywords

Exponential smoothing; Forecasting; Optimal weights; Robust optimal weights; Structural breaks

Indexed keywords

FORECASTING;

ANALYTICAL EXPRESSIONS; EXPONENTIAL SMOOTHING; FORECASTING PROCEDURES; MONTE CARLO EXPERIMENTS; OPTIMAL WEIGHT; RELATIVE PERFORMANCE; STRUCTURAL BREAK; YIELD CURVE;

STRUCTURAL OPTIMIZATION;

EID: 84886719106     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jeconom.2013.04.002     Document Type: Article

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