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Forecasting in the presence of recent structural change

Jana Eklund, G. Kapetanios and Simon Price ()

Working Papers from Department of Economics, City University London

Abstract: We examine how to forecast after a recent break. We consider monitoring for change and then combining forecasts from models that do and do not use data before the change; and robust methods, namely rolling regressions, forecast averaging over different windows and exponentially weighted moving average (EWMA) forecasting. We derive analytical results for the performance of the robust methods relative to a full-sample recursive benchmark. For a location model subject to stochastic breaks the relative MSFE ranking is EWMA

Keywords: monitoring; recent structural change; forecast combination; robust forecasts (search for similar items in EconPapers)
Date: 2011
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Working Paper: Forecasting in the presence of recent structural change (2011) Downloads
Working Paper: Forecasting in the presence of recent structural change (2010) Downloads
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