The Contribution of Structural Break Models to Forecasting Macroeconomic Series

This paper compares the forecasting performance of models that have been proposed for forecasting in the presence of structural breaks. They differ in their treatment of the break process, the model applied in each regime and the out-of-sample probability of a break. In an extensive empirical evalua...

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Bibliographic details
Volume: 30
Main Author: Bauwens, Luc
Koop, Gary
Korobilis, Dimitris
Rombouts, Jeroen V.K
Format: Journal Article
Language: English
Zielgruppe: Academic
Place of publication: HOBOKEN Blackwell Publishing Ltd 01.06.2015
Wiley (Variant)
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published in: Journal of applied econometrics (Chichester, England) Vol. 30; no. 4; pp. 596 - 620
Edition: Bauwens, L., Koop, G., Korobilis, D., and Rombouts, J. V. (2015), The Contribution of Structural Break Models to Forecasting Macroeconomic Series. J. Appl. Econ., 30, 596-620. doi: 10.1002/jae.2387.
ORCID: 0000-0002-6091-378X
Data of publication: 2015-06
ISSN: 0883-7252
EISSN: 1099-1255
Discipline: Economics
Online Access: Fulltext
Database: Istex
Web of Knowledge
Social Sciences Citation Index
Web of Science
Web of Science - Social Sciences Citation Index - 2015
Academic OneFile (A&I only)
Database information Databases - DBIS