In this article we consider combining forecasts generated from the same model but over different estimation windows. We develop theoretical results for random walks with breaks in the drift and volatility and for a linear regression model with a break in the slope parameter. Averaging forecasts...

This paper considers the problem of forecasting under continuous and discrete structural breaks and proposes weighting observations to obtain optimal forecasts in the MSFE sense. We derive optimal weights for one step ahead forecasts. Under continuous breaks, our approach largely recovers...