Small sample properties of forecasts from autoregressive models under structural breaks
نویسندگان
چکیده
منابع مشابه
Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks∗
This paper develops a theoretical framework for the analysis of smallsample properties of forecasts from general autoregressive models under structural breaks. Finite-sample results for the mean squared forecast error of one-step ahead forecasts are derived, both conditionally and unconditionally, and numerical results for different types of break specifications are presented. It is established...
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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2005
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2004.09.007