Recently, there has been considerable work on stochastic time-varying coefficient models as vehicles for modelling structural change in the macroeconomy with a focus on the estimation of the unobserved paths of random coefficient processes. The dominant estimation methods, in this context, are...

Models based on economic theory have serious problems forecasting exchange rates better than simple univariate driftless random walk models, especially at short horizons. Multivariate time series models suffer from the same problem. In this paper, we propose to forecast exchange rates with a...

We examine how to forecast after a recent break. We consider monitoring for change and then combining forecasts from models that do and do not use data before the change; and robust methods, namely rolling regressions, forecast averaging over different windows and exponentially weighted moving...

The presence of cross-sectionally correlated error terms invalidates much inferential theory of panel data models. Recently, work by Pesaran (2006) has suggested a method which makes use of cross-sectional averages to provide valid inference in the case of stationary panel regressions with a...

The presence of cross-sectionally correlated error terms invalidates much inferential theory of panel data models. Recently, work by Pesaran (2006) has suggested a method which makes use of cross-sectional averages to provide valid inference in the case of stationary panel regressions with a...

Density forecast combinations are becoming increasingly popular as a means of improving forecast `accuracy’, as measured by a scoring rule. In this paper we generalise this literature by letting the combination weights follow more general schemes. Sieve estimation is used to optimise the score...

This paper considers the issue of bootstrap resampling in panel data sets. The availability of data sets with large temporal and cross-sectional dimensions suggests the possibility of new resampling schemes. We suggest one possibility which has not been widely explored in the literature. It...

This paper introduces a new model of structural breaks in the coefficients of economic relationships which allows them to be driven by large past economic shocks. The breaks generated by these shocks can be taken to reflect stochastic changes in agents' decisions or beliefs triggered by...