tailieunhanh - Handbook of Economic Forecasting part 64

Handbook of Economic Forecasting part 64. Research on forecasting methods has made important progress over recent years and these developments are brought together in the Handbook of Economic Forecasting. The handbook covers developments in how forecasts are constructed based on multivariate time-series models, dynamic factor models, nonlinear models and combination methods. The handbook also includes chapters on forecast evaluation, including evaluation of point forecasts and probability forecasts and contains chapters on survey forecasts and volatility forecasts. Areas of applications of forecasts covered in the handbook include economics, finance and marketing | 604 G. Elliott Turner J. 2004 . Local to unity long horizon forecasting thresholds for model selection in the AR 1 . Journal of Forecasting 23 513-539. Valkenov R. 2003 . Long horizon regressions Theoretical results and applications . Journal of Financial Economics 68 201-232. Watson M. 1994 . Vector autoregression and cointegration . In Engle R. McFadden D. Eds. Handbook of Econometrics vol. 4. Elsevier Amsterdam pp. 2843-2915. Chapter 12 FORECASTING WITH BREAKS MICHAEL P. CLEMENTS Department of Economics University of Warwick DAVID F. HENDRY Economics Department University of Oxford Contents Abstract 606 Keywords 606 1. Introduction 607 2. Forecast-error taxonomies 609 . General model-free forecast-error taxonomy 609 . VAR model forecast-error taxonomy 613 3. Breaks in variance 614 . Conditional variance processes 614 . GARCH model forecast-error taxonomy 616 4. Forecasting when there are breaks 617 . Cointegrated vector autoregressions 617 . VECM forecast errors 618 . DVAR forecast errors 620 . Forecast biases under location shifts 620 . Forecast biases when there are changes in the autoregressive parameters 621 . Univariate models 622 5. Detection of breaks 622 . Tests for structural change 622 . Testing for level shifts in ARMA models 625 6. Model estimation and specification 627 . Determination of estimation sample for a fixed specification 627 . Updating 630 7. Ad hoc forecasting devices 631 . Exponential smoothing 631 . Intercept corrections 633 . Differencing 634 Handbook of Economic Forecasting Volume 1 Edited by Graham Elliott Clive . Granger and Allan Timmermann 2006 Elsevier All rights reserved DOI 51574-0706 05 01012-8 606 . Clements and . Hendry . Pooling 635 8. Non-linear models 635 . Testing for non-linearity and structural change 636 . Non-linear model forecasts 637 . Empirical evidence 639 9. Forecasting UK unemployment after three crises 640 . Forecasting .