Castle, Jennifer; Doornik, Jurgen A.; Hendry, David F. - In: Econometrics : open access journal 9 (2021) 3, pp. 1-35
is extended by allowing for a structural break, either in the first forecast period or just before. Theoretical results … explaining the forecast performance, and with the caveat that retaining irrelevant variables that are subject to location shifts … can worsen forecast performance. …