Forecasting Random Walks Under Drift Instability

By M. Pesaran, Andreas Pick. 2008

69 citations recorded by the source corpus.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/05e1153f378a572ecccc335b818b3d8486ecca9e

Citations in the corpus

• Forecast Combination Across Estimation Windows (2011, unknown): “The bias of the one-step ahead forecast error is Bias [ŷT+1(γ)] = ( μ(2) − μ(1)) ( γT−Tb+1−γT 1−γT ) (Pesaran and Pick 2008).”