Finite sample forecast properties and window length under breaks in cointegrated systems
Year of publication: |
2022
|
---|---|
Authors: | Nocciola, Luca |
Published in: |
Essays in honor of M. Hashem Pesaran : prediction and macro modeling. - Bingley, U.K. : Emerald Publishing Limited, ISBN 978-1-80262-063-4. - 2022, p. 167-196
|
Subject: | Bayesian inference | cointegration | expanding windowestimator | finite sample forecast properties | MSE | structural breaks | Prognoseverfahren | Forecasting model | Strukturbruch | Structural break | Kointegration | Cointegration | Zeitreihenanalyse | Time series analysis | Schätztheorie | Estimation theory |
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