Forecasting Random Walks Under Drift Instability
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- Pesaran, M.H. & Pick, A., 2008. "Forecasting Random Walks Under Drift Instability," Cambridge Working Papers in Economics 0814, Faculty of Economics, University of Cambridge.
References listed on IDEAS
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Cited by:
- Pesaran, M. Hashem & Schuermann, Til & Smith, L. Vanessa, 2009.
"Forecasting economic and financial variables with global VARs,"
International Journal of Forecasting, Elsevier, vol. 25(4), pages 642-675, October.
- M. Hashem Pesaran & Til Schuermann & L. Vanessa Smith, 2008. "Forecasting Economic and Financial Variables with Global VARs," CESifo Working Paper Series 2263, CESifo.
- M. Hashem Pesaran & Til Schuermann & L. Vanessa Smith, 2008. "Forecasting economic and financial variables with global VARs," Staff Reports 317, Federal Reserve Bank of New York.
- Pesaran, M.H. & Schuermann, T. & Smit, L.V., 2008. "Forecasting Economic and Financial Variables with Global VARs," Cambridge Working Papers in Economics 0807, Faculty of Economics, University of Cambridge.
- Eklund, Jana & Kapetanios, George & Price, Simon, 2010.
"Forecasting in the presence of recent structural change,"
Bank of England working papers
406, Bank of England.
- Jana Eklund & George Kapetanios & Simon Price, 2011. "Forecasting in the presence of recent structural change," CAMA Working Papers 2011-23, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Eklund, J. & Kapetanios, G. & Price, S., 2011. "Forecasting in the presence of recent structural change," Working Papers 11/05, Department of Economics, City University London.
- Agnieszka Markiewicz, 2010. "Monetary Policy, Model Uncertainty and Exchange Rate Volatility," CESifo Working Paper Series 2949, CESifo.
- Fu, Guomin & Zhu, Sijia, 2023. "Innovation, financial risk and natural resources for sustainable development: Fresh evidence from BRICS economies," Resources Policy, Elsevier, vol. 80(C).
- Mayr, Johannes, 2010. "Forecasting Macroeconomic Aggregates," Munich Dissertations in Economics 11140, University of Munich, Department of Economics.
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More about this item
Keywords
forecast combinations; averaging over estimation windows; exponentially down-weighting observations; structural breaks;All these keywords.
JEL classification:
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
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