Testing for predictive ability in the presence of structural breaks (in Russian)
AbstractWe propose a new approach to testing for predictive ability in the presence of structural breaks in data. Our approach extends the well-known results of West (1996) and West & McCracken (1998), and is alternative to methods developed in Giacomini & White (2006) and Giacomini & Rossi (2010).
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Bibliographic InfoArticle provided by Quantile in its journal Quantile.
Volume (Year): (2010)
Issue (Month): 8 (July)
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Web page: http://quantile.ru/
testing for predictive ability; forecast evaluation; structural change;
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