Market timing and return prediction under model instability

By M. Hashem, Pesaran, Allan G. Timmermann, James Chu, D. Hendry, A. Pagan. 2002

293 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/2c30469f602fd06d020b4583d46bbae782a82e2d

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Citations in the corpus

Optimal forecasts in the presence of structural breaks (2011, background): “It is now widely recognized that parameter instability is an important source of forecast failure in macroeconomics and finance as documented by Pesaran and Timmermann (2002); Pesaran et al. (2006), Koop and Potter (2007); Giacomini and Rossi (2009); Inoue and Rossi (2011), among others.”
Instability of Return Prediction Models (2006, background): “Pesaran and Timmermann (2002) propose a procedure that reverses the ordering of the data in the prediction model”
Advances in Forecasting Under Instability (2012, unknown): “…(e.g. using Andrews, 1993, Bai and Perron, 1998, Elliott and Mueller, 2006, among others), or by adapting the estimation window to the latest break (Pesaran and Timmermann, 2002), or by explicitly modeling the size and duration of the breaks process, either via time-varying parameter models (with…”
Small Sample Properties of Forecasts from Autoregressive Models Under Structural Breaks (2003, unknown): “It is insightful to compare and contrast our results for the AR(p) model to those reported by Pesaran and Timmermann (2003) under strictly exogenous regressors.”
How Costly is it to Ignore Breaks When Forecasting the Direction of a Time Series? (2004, background): “Many other studies have confirmed the presence of breaks in economic and financial time series; see, inter alia, Alogoskoufis and Smith (1991), Garcia and Perron (1996), Bai and Perron (1998), Clements and Hendry (1998), Pesaran and Timmermann (2002) and Timmermann (2001).”
Improving Forecast Accuracy by Combining Recursive and Rolling Forecasts (2008, unknown): “In practice, to be sure, some research suggests the importance of multiple or stochastic breaks (e.g., Pesaran and Timmermann (2002) and Rapach and Wohar (2006)).”
On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation (2004, unknown): “One promising method of doing so is the reversed ordered Cusum (ROC) procedure of Pesaran and Timmermann (2002) .”
An Evaluation of the World Economic Outlook Forecasts (2006, background): “One possibility is to adopt the reverse-ordered Cusum tests proposed by Pesaran and Timmermann (2002).”
Renewable energy, nonrenewable energy consumption, and economic growth (2017, background): “This finding on the negative relationship between renewable energy consumption and economic growth is in contrast with the results provided by Sadorsky (2009) and Apergis and Payne (2010).”
Confidence Sets for the Date of a Single Break in Linear Time Series Regressions (2004, background): “When models are subject to a break, better forecasts will typically emerge from putting more (or all) weight on observations after the break (Pesaran and Timmermann (2002)).”
Structural Breaks and Predictive Regression Models of Aggregate U.S. Stock Returns (2006, background): “For example, Pesaran and Timmerman (2002) cite major changes in market sentiment, speculative bubbles, regime changes in monetary policy, changes in debt management policies, and learning by investors as possible sources of instability in predictive regression models.”