Giraitis, Liudas; Kapetanios, George; Price, Simon - In: Journal of Econometrics 177 (2013) 2, pp. 153-170
We consider time series forecasting in the presence of ongoing structural change where both the time series dependence … and the nature of the structural change are unknown. Methods that downweight older data, such as rolling regressions … structural change, are found also to be useful in the presence of ongoing structural change in the forecast period. A crucial …