-
Optimal forecast under structural breaks (replication data)
This paper develops an optimal combined estimator to forecast out-of-sample under structural breaks. When it comes to forecasting, using only the postbreak observations after... -
Robust inference under time‐varying volatility: A real‐time evaluation of pro...
In many forecast evaluation applications, standard tests as well as tests allowing for time-variation in relative forecast ability build on... -
Sparse change‐point VAR models (replication data)
Change-point (CP) VAR models face a dimensionality curse due to the proliferation of parameters that arises when new breaks are detected. We introduce the Sparse CP-VAR model...
