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The Contribution of Structural Break Models to Forecasting Macroeconomic Series

  • Published:2014-03-12 Issue:4 Volume:30 Page:596-620
  • ISSN:0883-7252
  • Container-title:Journal of Applied Econometrics
  • language:en
  • Short-container-title:J. Appl. Econ.

Author:

Bauwens Luc12,Koop Gary3,Korobilis Dimitris4,Rombouts Jeroen V.K.5

Affiliation:

1. CORE; Université catholique de Louvain; Louvain-La-Neuve Belgium

2. Department of Economics; University of Johannesburg; South Africa

3. Department of Economics; University of Strathclyde; Glasgow UK

4. Department of Economics; University of Glasgow; UK

5. ESSEC Business School; Cergy-Pontoise France

Funder

Communaut� Fran�aise de Belgique

Publisher

Wiley

Subject

Economics and Econometrics,Social Sciences (miscellaneous)

Reference21 articles.

1. Regime switches in interest rates;Ang;Journal of Business and Economic Statistics,2002

2. Measuring the effects of monetary policy: a factor- augmented vector autoregressive (favar) approach;Bernanke;Quarterly Journal of Economics,2005

3. Estimation and comparison of multiple change-point models;Chib;Journal of Econometrics,1998

4. Improving forecast accuracy by combining recursive and rolling forecasts;Clark;International Economic Review,2009

5. Forecasting Economic Time Series

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