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Detecting Breaks in Real Time : A Panel Forecasting Approach

Smith, Simon - 2018

We develop a new Bayesian panel regression approach to estimating an unknown number of breaks and forecasting future outcomes in the presence of scarce information from new regimes. Our approach allows the parameters to be heterogeneous across units but assumes that the timing of breaks is...

Persistent link: https://www.econbiz.de/10012912361

Equity premium estimates from economic fundamentals under structural breaks

Smith, Simon C. - In: International review of financial analysis 52 (2017), pp. 49-61

Persistent link: https://www.econbiz.de/10011868696

Variable selection in panel models with breaks

Smith, Simon C.; Timmermann, Allan; Zhu, Yinchu - In: Journal of econometrics 212 (2019) 1, pp. 323-344

Persistent link: https://www.econbiz.de/10012303949

Have risk premia vanished?

Smith, Simon C.; Timmermann, Allan - 2021

Persistent link: https://www.econbiz.de/10012508216

Time-variation, multiple testing, and the factor zoo

Smith, Simon C. - In: International review of financial analysis 84 (2022), pp. 1-15

Persistent link: https://www.econbiz.de/10013472944

Have risk premia vanished?

Smith, Simon C.; Timmermann, Allan - In: Journal of financial economics 145 (2022) 2,2, pp. 553-576

Persistent link: https://www.econbiz.de/10013474424

Structural breaks in grouped heterogeneity

Smith, Simon C. - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 3, pp. 752-764

Persistent link: https://www.econbiz.de/10014448432

Factor selection and structural breaks

Chib, Siddhartha; Smith, Simon C. - 2024 - Draft: May 31, 2024

Persistent link: https://www.econbiz.de/10015055696

International stock return predictability

Smith, Simon C. - In: International review of financial analysis 78 (2021), pp. 1-15

Persistent link: https://www.econbiz.de/10013255884