The use of spline functions for forecasting in the presence of structural changes: a cautionary tale

James Steeley

Applied Economics Letters, 1995, vol. 2, issue 10, 409-411

Abstract: A number of methods have been suggested to improve forecasts for data sets subject to structural breaks. This article explains why one such procedure, the spline function technique, may not be a natural candidate. An example is given where data that appeared to be well forecast using spline functions performed poorly beyond a very short forecasting horizon.

Date: 1995
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DOI: 10.1080/758519003

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