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Learning, forecasting and structural breaks Author info | Abstract | Publisher info | Download info | Related research | Statistics John M. Maheu (Department of Economics, University, of Toronto, Canada)
Stephen Gordon (Département d'économique and CIRPÉE, Université Laval, Quebec City, Canada)
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We provide a general methodology for forecasting in the presence of structural breaks induced by unpredictable changes to model parameters. Bayesian methods of learning and model comparison are used to derive a predictive density that takes into account the possibility that a break will occur before the next observation. Estimates for the posterior distribution of the most recent break are generated as a by-product of our procedure. We discuss the importance of using priors that accurately reflect the econometrician's opinions as to what constitutes a plausible forecast. Several applications to macroeconomic time-series data demonstrate the usefulness of our procedure. Copyright © 2008 John Wiley & Sons, Ltd.
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Article provided by John Wiley & Sons, Ltd. in its journal Journal of Applied Econometrics .
Volume (Year): 23 (2008)
Issue (Month): 5 ()
Pages: 553-583
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Handle: RePEc:jae:japmet:v:23:y:2008:i:5:p:553-583Contact details of provider: Web page: http://www.interscience.wiley.com/jpages/0883-7252/
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References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: Ghysels, Eric & Hall, Alastair, 1990.
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references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
Todd E. Clark & Michael W. McCracken, 2004.
"Improving forecast accuracy by combining recursive and rolling forecasts ,"
Research Working Paper
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Todd E. Clark & Michael W. McCracken, 2008.
"Improving forecast accuracy by combining recursive and rolling forecasts ,"
Working Papers
2008-028, Federal Reserve Bank of St. Louis.
[Downloadable!] Todd E. Clark & Michael W. McCracken, 2009.
"Improving Forecast Accuracy By Combining Recursive And Rolling Forecasts ,"
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M. Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2004.
"Forecasting Time Series Subject to Multiple Structural Breaks ,"
CESifo Working Paper Series
CESifo Working Paper No. , CESifo Group Munich.
[Downloadable!]
Other versions:
Pesaran, M. Hashem & Pettenuzzo, Davide & Timmermann, Allan, 2004.
"Forecasting Time Series Subject to Multiple Structural Breaks ,"
IZA Discussion Papers
1196, Institute for the Study of Labor (IZA).
[Downloadable!] Pesaran, M.H. & Pettenuzzo, D. & Timmermann, A., 2004.
"‘Forecasting Time Series Subject to Multiple Structural Breaks’ ,"
Cambridge Working Papers in Economics
0433, Faculty of Economics, University of Cambridge.
[Downloadable!] Pesaran, M Hashem & Pettenuzzo, Davide & Timmermann, Allan G, 2004.
"Forecasting Time Series Subject to Multiple Structural Breaks ,"
CEPR Discussion Papers
4636, C.E.P.R. Discussion Papers.
[Downloadable!] (restricted) Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2006.
"Forecasting Time Series Subject to Multiple Structural Breaks ,"
Review of Economic Studies ,
Blackwell Publishing, vol. 73(4), pages 1057-1084, October.
[Downloadable!] (restricted) John M Maheu & Thomas H McCurdy, 2007.
"How useful are historical data for forecasting the long-run equity return distribution? ,"
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John M. Maheu & Thomas H. McCurdy, 2007.
"How useful are historical data for forecasting the long-run equity return distribution? ,"
Working Paper Series
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Gary Koop & Simon M. Potter, 2007.
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"Prior Elicitation in Multiple Change-point Models ,"
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24-08, Rimini Centre for Economic Analysis, revised Jan 2008.
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Todd E. Clark & Michael W. McCracken, 2006.
"Forecasting of small macroeconomic VARs in the presence of instabilities ,"
Research Working Paper
RWP 06-09, Federal Reserve Bank of Kansas City.
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Zhongfang He & John M Maheu, 2008.
"Real Time Detection of Structural Breaks in GARCH Models ,"
Working Papers
tecipa-336, University of Toronto, Department of Economics.
[Downloadable!]
Other versions: Gary M. Koop & Simon M. Potter, 2004.
"Forecasting and estimating multiple change-point models with an unknown number of change points ,"
Staff Reports
196, Federal Reserve Bank of New York.
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