Time series forecasting under structural breaks

Anton Skrobotov ()
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Anton Skrobotov: RANEPA, Moscow, Russian Federation;

Applied Econometrics, 2024, vol. 76, 120-139

Abstract: In this paper, we overview the forecasting methods in the presence of structural breaks. Methods for selecting a forecast window that includes the break date, weighted average methods of pre- and post-break estimators, and averaging-based methods are discussed. The considered methods are compared in terms of predictive power using Russian macroeconomic time series. The results demonstrate the superiority of forecasts that take into account the presence of break.

Keywords: time series; structural breaks; forecasting; optimal forecast; weighted estimator (search for similar items in EconPapers)
JEL-codes: C22 C32 C53 (search for similar items in EconPapers)
Date: 2024
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