Forecasting in the presence of in-sample and out-of-sample breaks
Bibliographic Data
| ID | 21541658 |
|---|---|
| Authors | Jiawen Xu (0000-0002-5398-0394, University of Shanghai for Science and Technology), Pierre Perron (0000-0001-6249-3574, Bay State College, corresponding author) |
| Year | 2023 |
| Volume | 64 |
| Issue | 6 |
| Pages | 3001-3035 |
| Publication date | 2023-06-01 |
| Peer Reviewed | Yes |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Empirical Economics (JOURNAL) |
| Journal identifiers | ISSN: 0377-7332 • E-ISSN: 1435-8921 |
| Publisher | Springer Science and Business Media LLC (PUBLISHER) |
| DOI | 10.1007/s00181-022-02346-x |
| OpenAlex | W4312193979 |
| Language | EN |
| References cited | 53 |
Algorithm · Conditional expectation · Econometrics · Economics · Kalman filter · Monte Carlo method · State-space representation · Statistics · Computer Science · Financial Risk and Volatility Modeling · Forecasting Techniques and Applications · Mathematics · Monetary Policy and Economic Impact
Time Series Analysis
Estimating and Testing Linear Models with Multiple Structural Changes
Why Has U.S. Inflation Become Harder to Forecast?
Drifts and volatilities
Common risk factors in the returns on stocks and bonds
Tests for Parameter Instability and Structural Change With Unknown Change Point
A Comprehensive Look at The Empirical Performance of Equity Premium Prediction
Computation and analysis of multiple structural change models
Maximum Likelihood from Incomplete Data Via the EM Algorithm
Evidence on Structural Instability in Macroeconomic Time Series Relations
Efficient Bayesian Inference for Multiple Change-Point and Mixture Innovation Models
Real-Time Inflation Forecasting in a Changing World
Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices
How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution
An Analysis of the Real Interest Rate Under Regime Shifts
| Citation velocity | historical |
|---|---|
| Highly cited | No |