Pesaran, M. Hashem; Pick, Andreas; Pranovich, Mikhail - In: Journal of Econometrics 177 (2013) 2, pp. 134-152
This paper considers the problem of forecasting under continuous and discrete structural breaks and proposes weighting … continuous breaks, our approach largely recovers exponential smoothing weights. Under discrete breaks, we provide analytical … only across regimes. In practice, where information on structural breaks is uncertain, a forecasting procedure based on …