The use of spline functions for forecasting in the presence of structural changes: a cautionary tale
AbstractA number of methods have been suggested to improve forecasts for data sets subject to structural breaks. This article explains why one such procedure, the spline function technique, may not be a natural candidate. An example is given where data that appeared to be well forecast using spline functions performed poorly beyond a very short forecasting horizon.
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Bibliographic InfoArticle provided by Taylor & Francis Journals in its journal Applied Economics Letters.
Volume (Year): 2 (1995)
Issue (Month): 10 ()
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