This paper provides a new approach to forecasting time series that are subject to discrete structural breaks. We propose a Bayesian estimation and prediction procedure that allows for the possibility of new breaks occurring over the forecast horizon, taking account of the size and duration of...

This paper provides a new approach to forecasting time series that are subject to discrete structural breaks. We propose a Bayesian estimation and prediction procedure that allows for the possibility of new breaks occurring over the forecast horizon, taking account of the size and duration of...

The authors consider the question, "Under what conditions is the extremum of a random function over a random set itself a random object?" The answer is relevant to problems in both game theory and econometrics, as they illustrate with examples. The authors' purpose here is to bring the powerful...