Forecasting in the presence of recent structural change
We examine how to forecast after a recent break. We consider monitoring for change and then combining forecasts from models that do and do not use data before the change; and robust methods, namely rolling regressions, forecast averaging over different windows and exponentially weighted moving average (EWMA) forecasting. We derive analytical results for the performance of the robust methods relative to a full-sample recursive benchmark. For a location model subject to stochastic breaks the relative MSFE ranking is EWMA
|Date of creation:||2011|
|Contact details of provider:|| Postal: Department of Economics, Social Sciences Building, City University London, Whiskin Street, London, EC1R 0JD, United Kingdom,|
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2002,07, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
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"Forecasting Random Walks Under Drift Instability,"
Cambridge Working Papers in Economics
0814, Faculty of Economics, University of Cambridge.
- M. Hashem Pesaran & Andreas Pick, 2009. "Forecasting Random Walks under Drift Instability," DNB Working Papers 207, Netherlands Central Bank, Research Department.
- M. Hashem Pesaran & Andreas Pick, 2008. "Forecasting Random Walks Under Drift Instability," CESifo Working Paper Series 2293, CESifo Group Munich.
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- 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.
- M. Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2006. "Forecasting Time Series Subject to Multiple Structural Breaks," Review of Economic Studies, Oxford University Press, vol. 73(4), pages 1057-1084.
- 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.
- M. Hashem Pesaran & Davide Pettenuzzo & Allan Timmermann, 2004. "Forecasting Time Series Subject to Multiple Structural Breaks," CESifo Working Paper Series 1237, CESifo Group Munich.
- 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).
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"Nonparametric estimation of time varying parameters under shape restrictions,"
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- Rodríguez Poo, Juan M. & Ferreira García, María Eva & Orbe Mandaluniz, Susan, 2001. "Nonparametric estimation of time varying parameters under shape restrictions," BILTOKI 2001-02, Universidad del País Vasco - Departamento de Economía Aplicada III (Econometría y Estadística).
- Kapetanios, George, 2007. "Estimating deterministically time-varying variances in regression models," Economics Letters, Elsevier, vol. 97(2), pages 97-104, November.
- Gary Koop & Simon M. Potter, 2007. "Estimation and Forecasting in Models with Multiple Breaks," Review of Economic Studies, Oxford University Press, vol. 74(3), pages 763-789.
- Kapetanios, G. & Tzavalis, E., 2010. "Modeling structural breaks in economic relationships using large shocks," Journal of Economic Dynamics and Control, Elsevier, vol. 34(3), pages 417-436, March.
- Pesaran, M. Hashem & Timmermann, Allan, 2007. "Selection of estimation window in the presence of breaks," Journal of Econometrics, Elsevier, vol. 137(1), pages 134-161, March.
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