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Using All Observations when Forecasting under Structural Breaks

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Author Info
Stanislav Anatolyev () (New Economic School, Moscow)
Victor Kitov () (Faculty of Computational Mathematics and Cybernetics, Moscow State University, Moscow)

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Abstract

We extend the idea of the trade-off window approach by Pesaran and Timmermann (2007) of using observations preceding the last structural break to estimate model parameters for the purpose of forecasting. Our weighted least squares method utilizes information in all observations but with weights varying from one to another interval between breaks. This leads to a smaller mean squared prediction error which is illustrated by simulations. The proposed procedure is computationally simple having a convenient associated optimization program. We also describe and evaluate a cross-validation analog of the proposed method.

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File URL: http://www.taloustieteellinenseura.fi/fep/articles/FEP22007_ANATOLYEV_KITOV.pdf
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Publisher Info
Article provided by Finnish Society for Economic Research in its journal Finnish Economic Papers.

Volume (Year): 20 (2007)
Issue (Month): 2 (Autumn)
Pages: 166-176
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Handle: RePEc:fep:journl:v:20:y:2007:i:2:p:166-176

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Web page: http://www.taloustieteellinenseura.fi
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Find related papers by JEL classification:
C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General - - - Hypothesis Testing
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models
C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models
C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications

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This page was last updated on 2008-8-6.

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