کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
5096264 | 1376515 | 2013 | 19 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Optimal forecasts in the presence of structural breaks
ترجمه فارسی عنوان
پیش بینی های بهینه در حضور شکست های ساختاری
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
چکیده انگلیسی
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 exponential smoothing weights. Under discrete breaks, we provide analytical expressions for optimal weights in models with a single regressor, and asymptotically valid weights for models with more than one regressor. It is shown that in these cases the optimal weight is the same across observations within a given regime and differs only across regimes. In practice, where information on structural breaks is uncertain, a forecasting procedure based on robust optimal weights is proposed. The relative performance of our proposed approach is investigated using Monte Carlo experiments and an empirical application to forecasting real GDP using the yield curve across nine industrial economies.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 177, Issue 2, December 2013, Pages 134-152
Journal: Journal of Econometrics - Volume 177, Issue 2, December 2013, Pages 134-152
نویسندگان
M. Hashem Pesaran, Andreas Pick, Mikhail Pranovich,