Robust Forecast Methods and Monitoring During Structural Change

@inproceedings{Eklund2013RobustFM,
  title={Robust Forecast Methods and Monitoring During Structural Change},
  author={Jenny M. Eklund and George Kapetanios and Simon Price},
  year={2013}
}
We examine how to forecast after a recent break. We consider a new approach, monitoring for change and then combining forecasts from two models, one using the full sample and the other solely data from after the identified break point. We compare this to some robust techniques: rolling regressions, forecast averaging over all possible windows and exponentially weighted forecasts. We examine the efficacy of these methods with Monte Carlo experiments where there are single deterministic or… CONTINUE READING
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