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EconStor >
ifo Institut – Leibniz-Institut für Wirtschaftsforschung an der Universität München >
CESifo Working Papers, CESifo Group Munich >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/18876
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Timmermann, Allan | | en_US |
| dc.contributor.author | | Pettenuzzo, Davide | | en_US |
| dc.contributor.author | | Pesaran, Mohammad Hashem | | en_US |
| dc.date.accessioned | | 2009-01-28T15:53:30Z | | - |
| dc.date.available | | 2009-01-28T15:53:30Z | | - |
| dc.date.issued | | 2004 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/18876 | | - |
| dc.description.abstract | | This paper provides a novel approach to forecasting time series subject to discrete structural breaks. We propose a Bayesian estimation and prediction procedure that allows for the possibility of new breaks over the forecast horizon, taking account of the size and duration of past breaks (if any) by means of a hierarchical hidden Markov chain model. Predictions are formed by integrating over the hyper parameters from the meta distributions that characterize the stochastic break point process. In an application to US Treasury bill rates, we find that the method leads to better out-of-sample forecasts than alternative methods that ignore breaks, particularly at long horizons. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.relation.ispartofseries | | CESifo working papers 1237 | | en_US |
| dc.subject.jel | | C53 | | en_US |
| dc.subject.jel | | C11 | | en_US |
| dc.subject.jel | | C15 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | structural breaks | | en_US |
| dc.subject.keyword | | forecasting | | en_US |
| dc.subject.keyword | | hierarchical hidden Markov chain model | | en_US |
| dc.subject.keyword | | Bayesian model averaging | | en_US |
| dc.subject.stw | | Prognoseverfahren | | en_US |
| dc.subject.stw | | Zeitreihenanalyse | | en_US |
| dc.subject.stw | | Strukturbruch | | en_US |
| dc.subject.stw | | Theorie | | en_US |
| dc.title | | Forecasting time series subject to multiple structural breaks | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 393391035 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| Appears in Collections: | | CESifo Working Papers, CESifo Group Munich
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