We investigate the probability forecasting performance of a three-regime dynamic ordered probit model framework …-parametric dating algorithm for the identification of these three phases. We compare the pseudo-out-of-sample forecasting skills of an …-Operating-Characteristic (ROC) Kurve sowie zwei dazugehörige statistische Maße berechnet. …

variables or which ones to use. The results of a recursive forecasting exercise reveal a statistically significant increase in …

different types of econometric models for oil price forecasting. Several specifications have been proposed in the economic …). The empirical literature is very far from any consensus about the appropriate model for oil price forecasting that should … common sample and common data. Fourth, we evaluate the forecasting performance of each selected model using static and …

as benchmark. Finally, we replicate the forecasting experiment including as predictors both an indicator of unemployment …

. Forecasting from such a model assuming 'no structural break' and 'correct model' is tantamount to ignoring important aspects of …) a random walk model. Optimal IC approach, though computational intensive, outperforms in forecasting next period …