Forecasting in the presence of in-sample and out-of-sample breaks
Year of publication: |
2023
|
---|---|
Authors: | Xu, Jiawen ; Perron, Pierre |
Published in: |
Empirical economics : a quarterly journal of the Institute for Advanced Studies. - Berlin : Springer, ISSN 1435-8921, ZDB-ID 1462176-9. - Vol. 64.2023, 6, p. 3001-3035
|
Subject: | Forecasting | Instabilities | Mixture Kalman filter | Random level shifts | Structural change | Prognoseverfahren | Forecasting model | Zeitreihenanalyse | Time series analysis | Strukturbruch | Structural break | Zustandsraummodell | State space model | Strukturwandel | Prognose | Forecast | Theorie | Theory | Wirtschaftsprognose | Economic forecast |
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