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The use of spline functions for forecasting in the presence of structural changes: a cautionary tale

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  • J. M. Steeley

Abstract

A number of methods have been suggested to improve forecasts for data sets subject to structural breaks. This article explains why one such procedure, the spline function technique, may not be a natural candidate. An example is given where data that appeared to be well forecast using spline functions performed poorly beyond a very short forecasting horizon.

Suggested Citation

  • J. M. Steeley, 1995. "The use of spline functions for forecasting in the presence of structural changes: a cautionary tale," Applied Economics Letters, Taylor & Francis Journals, vol. 2(10), pages 409-411.
    • Handle: RePEc:taf:apeclt:v:2:y:1995:i:10:p:409-411
    DOI: 10.1080/758519003
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    References listed on IDEAS

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    1. Suits, Daniel B & Mason, Andrew & Chan, Louis, 1978. "Spline Functions Fitted by Standard Regression Methods," The Review of Economics and Statistics, MIT Press, vol. 60(1), pages 132-139, February.
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