Forecasting Economic Processes
نویسندگان
چکیده
When the assumption of constancy fails the in-sample fit of a model may be a poor guide to exante forecast performance. We exposit a number of models, methods and procedures that both illustrate the impact of structural breaks, or non-constancy, on forecast accuracy, and offer an improved forecast performance. We argue that a theory of forecasting that allows for strutural breaks is feasible, and may provide a useful basis for interpreting and circumventing predictive failure in economics.
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