Gantungalag Altansukh
Biographic Data
| ID | 9613621 |
|---|---|
| NAME | Gantungalag Altansukh |
| GIVEN NAMES | Gantungalag |
| FAMILY NAME | Altansukh |
| SIGNATURE | ALTANSUKH G |
| AFFILIATIONS | National University of Mongolia |
| ORCID | 0000-0003-2756-9793 |
| VERIFIED | Yes |
| TOTAL WORKS | 1 |
| TOTAL CITATIONS | 0 |
| WORKS AS AUTHOR | 1 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 2022 |
| LATEST PUBLICATION YEAR | 2022 |
| H-INDEX | 0 |
Using structural break inference for forecasting time series
Rather than relying on a potentially poor point estimate of a coefficient break date when forecasting, this paper proposes averaging forecasts over sub-samples indicated by a confidence interval or set for the break date. Further, we examine whether explicit consideration of a possible variance break and the use of a two-step methodology improves forecast accuracy compared with using heteroskedasticity robust inference. Our Monte Carlo results an…
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Using structural break inference for forecasting time series
Rather than relying on a potentially poor point estimate of a coefficient break date when forecasting, this paper proposes averaging forecasts over sub-samples indicated by a confidence interval or set for the break date. Further, we examine whether explicit consideration of a possible variance break and the use of a two-step methodology improves forecast accuracy compared with using heteroskedasticity robust inference. Our Monte Carlo results an…
Artificial Intelligence (1 work) · Computer Science (1 work) · Confidence interval (1 work) · Econometrics (1 work) · Economic Growth and Productivity (1 work) · Economics (1 work) · Heteroscedasticity (1 work) · Indirect Inference (1 work) · Inference (1 work) · Market Dynamics and Volatility (1 work)