Forecasting in the presence of recent structural change

Jana Eklund, George Kapetanios and Simon Price

No 406, Bank of England working papers from Bank of England

Abstract: 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 mean square forecast error ranking is EWMA

Keywords: monitoring; recent structural change; forecast combination; robust forecasts (search for similar items in EconPapers)
JEL-codes: C10 C59 (search for similar items in EconPapers)
Pages: 49 pages
Date: 2010-12-02
New Economics Papers: this item is included in nep-cba, nep-ecm, nep-ets and nep-for
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (15)

Downloads: (external link)
https://www.bankofengland.co.uk/-/media/boe/files/ ... tructural-change.pdf Full text (application/pdf)

Related works:
Working Paper: Forecasting in the presence of recent structural change (2011)
Working Paper: Forecasting in the presence of recent structural change (2011)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:boe:boeewp:0406

Access Statistics for this paper

More papers in Bank of England working papers from Bank of England Bank of England, Threadneedle Street, London, EC2R 8AH. Contact information at EDIRC.
Bibliographic data for series maintained by Digital Media Team ().