Forecasting in the presence of recent structural change
George Kapetanios and
Simon Price ()
CAMA Working Papers from Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University
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
JEL-codes: C10 C59 (search for similar items in EconPapers)
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Working Paper: Forecasting in the presence of recent structural change (2011)
Working Paper: Forecasting in the presence of recent structural change (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:een:camaaa:2011-23
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