Forecasting breaks and forecasting during breaks
AbstractSuccess in accurately forecasting breaks requires that they are predictable from relevant information available at the forecast origin using an appropriate model form, which can be selected and estimated before the break.� To clarify the roles of these six necessary conditions, we distinguish between the information set for 'normal forces' and the ones for 'break drivers', then outline sources of potential information.� Relevant non-linear, dynamic models facing multiple breaks can have more candidate variables than observations, so we discuss automatic model selection.� As a failure to accurately forecast breaks remains likely, we augment our strategy by modelling breaks during their progress, and consider robust forecasting devices.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by University of Oxford, Department of Economics in its series Economics Series Working Papers with number 535.
Date of creation: 01 Feb 2011
Date of revision:
Economic forecasting; Structural breaks; Information sets; Non-linearity;
Find related papers by JEL classification:
- C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-03-05 (All new papers)
- NEP-CBA-2011-03-05 (Central Banking)
- NEP-ECM-2011-03-05 (Econometrics)
- NEP-ETS-2011-03-05 (Econometric Time Series)
- NEP-FOR-2011-03-05 (Forecasting)
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.:
- Eitrheim, Øyvind & Teräsvirta, Timo, 1995.
"Testing the Adequacy of Smooth Transition Autoregressive Models,"
Working Paper Series in Economics and Finance
56, Stockholm School of Economics.
- Eitrheim, Oyvind & Terasvirta, Timo, 1996. "Testing the adequacy of smooth transition autoregressive models," Journal of Econometrics, Elsevier, vol. 74(1), pages 59-75, September.
- Demirguc, Asli & Detragiache, Enrica, 2000.
"Monitoring Banking Sector Fragility: A Multivariate Logit Approach,"
World Bank Economic Review,
World Bank Group, vol. 14(2), pages 287-307, May.
- Enrica Detragiache & Asli DemirgÃ¼Ã§-Kunt, 1999. "Monitoring Banking Sector Fragility - A Multivariate Logit Approach," IMF Working Papers 99/147, International Monetary Fund.
- Gonzalo Camba-Mendez & George Kapetanios & Martin R. Weale, 1999. "The Forecasting Performance of the OECD Composite Leading Indicators for France, Germany,Italy and the UK," NIESR Discussion Papers 155, National Institute of Economic and Social Research.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Caroline Wise).
If references are entirely missing, you can add them using this form.