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Time series forecasting under structural breaks

RANEPA, Moscow, Russian Federation & Anton Skrobotov

Applied Econometrics2024https://doi.org/10.22394/1993-7601-2024-76-120-139article
ABDC C
Weight
0.35

What the paper says

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

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@article{ranepa2024,
  title        = {{Time series forecasting under structural breaks}},
  author       = {RANEPA, Moscow, Russian Federation & Anton Skrobotov},
  journal      = {Applied Econometrics},
  year         = {2024},
  doi          = {https://doi.org/https://doi.org/10.22394/1993-7601-2024-76-120-139},
}

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Time series forecasting under structural breaks

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Evidence weight

0.35

Balanced mode · F 0.40 / M 0.15 / V 0.05 / R 0.40

F · citation impact0.12 × 0.4 = 0.05
M · momentum0.53 × 0.15 = 0.08
V · venue signal0.50 × 0.05 = 0.03
R · text relevance †0.50 × 0.4 = 0.20

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