Now showing items 1-2 of 2

    • Forecasting Time Series Subject to Multiple Structural Breaks 

      Pesaran, M. Hashem; Pettenuzzo, Davide; Timmermann, Allan (Department of Applied Economics, 2004-06)
      This paper provides a novel approach to forecasting time series subject to discrete structural breaks. We propose a Bayesian estimation and prediction procedure that allows for the possibility of new breaks over the forecast ...
    • Learning, Structural Instability and Present Value Calculations 

      Pesaran, M. Hashem; Pettenuzzo, Davide; Timmermann, Allan (2006-03-14)
      Present value calculations require predictions of cash flows both at near and distant future points in time. Such predictions are generally surrounded by considerable uncertainty and may critically depend on assumptions ...