Testing for predictive ability in the presence of structural breaks (in Russian)

Pavel Yaskov
Additional contact information
Pavel Yaskov: Moscow State University, Moscow, Russia

Quantile, 2010, issue 8, pages 127-135

Abstract: We propose a new approach to testing for predictive ability in the presence of structural breaks in data. Our approach extends the well-known results of West (1996) and West & McCracken (1998), and is alternative to methods developed in Giacomini & White (2006) and Giacomini & Rossi (2010).

Keywords: testing for predictive ability; forecast evaluation; structural change (search for similar items in EconPapers)
Date: 2010
References: Add references at CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://quantile.ru/08/08-PY.pdf (application/pdf)

Related works:
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: http://EconPapers.repec.org/RePEc:qnt:quantl:y:2010:i:8:p:127-135

Access Statistics for this article

Quantile is edited by Stanislav Anatolyev

More articles in Quantile from Quantile
Series data maintained by Stanislav Anatolyev ().