Selection of Estimation Window With Strictly Exogenous Regressors∗
نویسندگان
چکیده
This paper derives analytical results for determination of the window size that explores the trade-off between bias and forecast error variance to minimize the mean squared forecast error in the presence of breaks. We show analytically how to determine the estimation window optimally for the case with strictly exogenous regressors. Through Monte Carlo simulations the paper compares the performance of the proposed method to that of several existing approaches to forecasting under breaks. JEL Classifications: C22, C53.
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