Optimal forecasts in the presence of structural breaks

By M. Pesaran, Andreas Pick, M. Pranovich. 2011

133 citations recorded by the source corpus.

Subfields: Economics and Econometrics

View Paper: https://www.semanticscholar.org/paper/3e99f7c77c9b8482ac94b304b01bdb7366965672

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In Economics and Econometrics

1. Ivan Petrella
2. Davide Delle Monache

Citations in the corpus

• Adaptive models and heavy tails with an application to inflation forecasting (2017, background): “As such, the weighting pattern is non-monotonic and time-varying, and it cannot be easily replicated by the weighting schemes which are meant to improve the forecasts under structural breaks, such as the ones proposed by Pesaran et al. (2013) or Giraitis et al. (2014). At this stage it is interestin”