Forecasting with Breaks

By Michael P. Clements, David F. Hendry. 2006

150 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/6944c5193cb84f5e87a9fe539e2adcc13d6f1db6

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In Economics and Econometrics

Citations in the corpus

Quantile forecasts of daily exchange rate returns from forecasts of realized volatility (2008, unknown): “The heterogenous autoregressive model for realized volatility (HAR-RV) of Corsi (2004) and Andersen et al.”
Elusive Return Predictability (2008, background): “Clements and Hendry (1999, 2006) provide a taxonomy and analysis of this area.9 One approach is to identify specific historical breaks (e.g., Pesaran and Timmermann (2002), Lettau and van Nieuwerburgh (2006) and Pesaran, Pettenuzzi and Timmermann (2006)).”
Testing Forecast Optimality Under Unknown Loss (2007, unknown): “Breaks such as these are widely considered a key source of forecast failure (cf. Clements and Hendry 1998, 2006).”
The Cross-Section of Credit Risk Premia and Equity Returns (2013, methodology): “the survey of Clements and Hendry (2006) and other chapters in Elliot et al.”
The Continuing Puzzle of Short Horizon Exchange Rate Forecasting (2008, background): “The main studies reviewed are Gourinchas and Rey (2007) an external balance model; Molodtsova and Papell (2008) a heterogeneous symmetric Taylor rule model with smoothing; and Engel, Mark and 3In this paper we are concerned only with "scale" bias as opposed to "location" bias. In other words, ou”
International Stock Return Predictability: What is the Role of the United States? (2010, unknown): “4The success of the combination forecast approach stems in part from its ability to improve forecast accuracy in environments with substantial model uncertainty and instability; see, for example, Hendry and Clements (2004), Clements and Hendry (2006), Timmermann (2006), and Rapach, Strauss, and Zhou”
Forecasting Random Walks Under Drift Instability (2008, background): “Keywords Forecast combinations, averaging over estimation windows, exponentially down-weighting observations, structural breaks JEL classifications C22, C53 ∗We are grateful to Alessio Sancetta, Christoph Schleicher, Vanessa Smith and Jim Stock for comments.”
Combining inflation density forecasts (2010, background): “The univariate models may in part be justified as simple “forecasting devices” as in Clements & Hendry (2006).”