Using structural break inference for forecasting time series
Bibliographic Data
| ID | 21541993 |
|---|---|
| Authors | Gantungalag Altansukh (0000-0003-2756-9793, National University of Mongolia), Denise R Osborn (0000-0001-5534-8926, University of Manchester, corresponding author) |
| Year | 2022 |
| Volume | 63 |
| Issue | 1 |
| Pages | 1-41 |
| Publication date | 2022-07-01 |
| 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/s00181-021-02137-w |
| OpenAlex | W3212420073 |
| Language | EN |
| References cited | 33 |
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 and empirical application to US productivity growth show that averaging using the likelihood ratio-based confidence set typically performs well in comparison with other methods, while two-step inference is particularly useful when a variance break occurs concurrently with or after any coefficient break
Confidence interval · Econometrics · Economics · Heteroscedasticity · Indirect Inference · Inference · Monte Carlo method · Statistical inference · Statistics · Structural break · Computer Science · Economic Growth and Productivity · Market Dynamics and Volatility · Mathematics · Monetary Policy and Economic Impact · Artificial Intelligence
Estimating and Testing Linear Models with Multiple Structural Changes
Output Fluctuations in the United States
Forecast Combination Across Estimation Windows
Evidence on Structural Instability in Macroeconomic Time Series Relations
Comparing Predictive Accuracy
Structural Breaks in the International Dynamics of Inflation
Estimation of a Change Point in Multiple Regression Models
A Retrospective Look at the U.S. Productivity Growth Resurgence
The New Econometrics of Structural Change
Challenges to Mismeasurement Explanations for the US Productivity Slowdown
| Highly cited | No |
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