Testing for predictive ability in the presence of structural breaks (in Russian)

We propose a new approach to testing for predictive ability in the presence of structural breaks in data. Our approach extends the well-known results of West (1996) and West & McCracken (1998), and is alternative to methods developed in Giacomini & White (2006) and Giacomini & Rossi (2010).

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Year of publication:	2010
Authors:	Yaskov, Pavel
Published in:	Quantile. - Quantile. - 2010, 8, p. 127-135
Publisher:	Quantile
Subject:	testing for predictive ability \| forecast evaluation \| structural change

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008520547