Anyfantakis, Costas; Caporale, Guglielmo Maria; Pittis, … - In: International Journal of Business Forecasting and … 1 (2008) 1, pp. 1-20
This paper uses Monte Carlo techniques to assess the loss in terms of forecast accuracy which is incurred when the true data generation process (DGP) exhibits parameter instability which is either overlooked or incorrectly modelled. We find that the loss is considerable when a fixed coefficient...