Small sample properties of forecasts from autoregressive models under structural breaks
Year of publication: |
2005
|
---|---|
Authors: | Pesaran, M. Hashem ; Timmermann, Allan |
Published in: |
Journal of econometrics. - Amsterdam [u.a.] : Elsevier, ISSN 0304-4076, ZDB-ID 184861-6. - Vol. 129.2005, 1/2, p. 183-217
|
Subject: | Strukturbruch | Structural break | Prognoseverfahren | Forecasting model | Autokorrelation | Autocorrelation |
-
Small sample properties of forecasts from autoregressive models under structural breaks
Timmermann, Allan, (2003)
-
Export-output growth nexus using threshold VAR and VEC models : empirical evidence from Thailand
Arisara Romyen, (2019)
-
Small sample properties of forecasts from autoregressive models under structural breaks
Pesaran, M. Hashem, (2003)
- More ...
-
The use of recursive model selection strategies in forecasting stock returns
Pesaran, M. Hashem, (1994)
-
Pesaran, M. Hashem, (1992)
-
A generalisation of the non-parametric Henriksson-Merton test of market timing
Pesaran, M. Hashem, (1992)
- More ...