We propose a near optimal test for structural breaks of unknown timing when the purpose of the analysis is to obtain accurate forecasts under square error loss. A bias-variance trade-off exists under square forecast error loss, which implies that small structural breaks should be ignored. We...

We propose a near optimal test for structural breaks of unknown timing when the purpose of the analysis is to obtain accurate forecasts under square error loss. A bias-variance trade-off exists under square forecast error loss, which implies that small structural breaks should be ignored. We...

This paper uses information theoretic methods to introduce a new class of probability distributions and estimators for competing explanations of the data in the binary choice model. No explicit parameterization of the function connecting the data to the Bernoulli probabilities is stated in the...