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

Pavel Yaskov
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Pavel Yaskov: Moscow State University, Moscow, Russia

Quantile, 2010, issue 8, 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
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Persistent link: https://EconPapers.repec.org/RePEc:qnt:quantl:y:2010:i:8:p:127-135

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