Testing for Changes in Forecasting Performance

Pierre Perron, Yohei Yamamoto and 庸平 山本

No 2018-03, Discussion Papers from Graduate School of Economics, Hitotsubashi University

Keywords: forecast failure; non-monotonic power; structural change; out-of-sample method (search for similar items in EconPapers)
JEL-codes: C14 C22 (search for similar items in EconPapers)
Pages: 38 pages
Date: 2018-05
New Economics Papers: this item is included in nep-ecm, nep-for, nep-ore and nep-rmg
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Downloads: (external link)
https://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/29252/070econDP18-03.pdf

Related works:
Journal Article: Testing for Changes in Forecasting Performance (2021)
Working Paper: Testing for Changes in Forecasting Performance (2019)
Working Paper: Testing for Changes in Forecasting Performance (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:hit:econdp:2018-03

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