Markov Breaks in Regression Models
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DOI: 10.1515/1941-1928.1111
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- Jiawen Xu & Pierre Perron, 2015.
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Boston University - Department of Economics - Working Papers Series
wp2015-012, Boston University - Department of Economics.
- Jiawen Xu & Pierre Perron, 2017. "Forecasting in the presence of in and out of sample breaks," Boston University - Department of Economics - Working Papers Series WP2017-004, Boston University - Department of Economics.
- Jiawen Xu & Pierre Perron, 2023. "Forecasting in the presence of in-sample and out-of-sample breaks," Empirical Economics, Springer, vol. 64(6), pages 3001-3035, June.
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Keywords
structural breaks; Markov switching; forecasting; filtering; smoothing;All these keywords.
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