Time series forecasting under structural breaks

Authors

  • Anton Skrobotov Автор

DOI:

https://doi.org/10.22394/1993-7601-2024-76-120-139

Keywords:

временные ряды, структурные сдвиги, прогнозирование, оптимальный прогноз, взвешенная оценка

Abstract

In this paper, we overview the forecasting methods in the presence of structural breaks. Methods for selecting a forecast window that includes the break date, weighted average methods of pre- and post-break estimators, and averaging-­based methods are discussed. The considered methods are compared in terms of predictive power using Russian macroeconomic time series. The results demonstrate the superiority of forecasts that take into account the presence of break.

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Published

2024-04-15

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Section

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