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Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
---|---|---|
dc.contributor.author | Timmermann, Allan | en |
dc.contributor.author | Pettenuzzo, Davide | en |
dc.contributor.author | Pesaran, Mohammad Hashem | en |
dc.date.accessioned | 2009-01-28T15:53:30Z | - |
dc.date.available | 2009-01-28T15:53:30Z | - |
dc.date.issued | 2004 | - |
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 structuralbreaks. We propose a Bayesian estimation and prediction procedure that allows for thepossibility of new breaks over the forecast horizon, taking account of the size and duration ofpast breaks (if any) by means of a hierarchical hidden Markov chain model. Predictions areformed by integrating over the hyper parameters from the meta distributions that characterizethe stochastic break point process. In an application to US Treasury bill rates, we find that themethod leads to better out-of-sample forecasts than alternative methods that ignore breaks,particularly at long horizons. | en |
dc.language.iso | eng | en |
dc.publisher | |aCenter for Economic Studies and ifo Institute (CESifo) |cMunich | en |
dc.relation.ispartofseries | |aCESifo Working Paper |x1237 | en |
dc.subject.jel | C53 | en |
dc.subject.jel | C11 | en |
dc.subject.jel | C15 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | structural breaks | en |
dc.subject.keyword | forecasting | en |
dc.subject.keyword | hierarchical hidden Markov chain model | en |
dc.subject.keyword | Bayesian model averaging | en |
dc.subject.stw | Prognoseverfahren | en |
dc.subject.stw | Zeitreihenanalyse | en |
dc.subject.stw | Strukturbruch | en |
dc.subject.stw | Theorie | en |
dc.title | Forecasting time series subject to multiple structural breaks | - |
dc.type | Working Paper | en |
dc.identifier.ppn | 856717800 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
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