Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks
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- Pesaran, M. Hashem & Timmermann, Allan, 2005. "Small sample properties of forecasts from autoregressive models under structural breaks," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 183-217.
- Pesaran, M. Hashem & Timmermann, Allan, 2004. "Small Sample Properties of Forecasts From Autoregressive Models Under Structural Breaks," CEPR Discussion Papers 4401, C.E.P.R. Discussion Papers.
- Allan Timmermann & M. Hashem Pesaran, 2003. "Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks," CESifo Working Paper Series 990, CESifo.
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More about this item
Keywords
small sample properties of forecasts; RMSFE; structural breaks; autoregression;All these keywords.
JEL classification:
- C33 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Models with Panel Data; Spatio-temporal Models
- C5 - Mathematical and Quantitative Methods - - Econometric Modeling
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2003-06-19 (Econometrics)
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