Now showing items 2-7 of 7

    • How Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series? 

      Pesaran, M. Hashem; Timmermann, Allan (2004-06-16)
      Empirical evidence suggests that many macroeconomic and financial time-series are subject to occasional structural breaks. In this paper we present analytical results quantifying the effects of such breaks on the correlation ...
    • 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 ...
    • Real Time Econometrics 

      Pesaran, M. Hashem; Timmermann, Allan (Department of Applied Economics, 2004-06)
      This paper considers the problems facing decision makers using econometric models in real time. It identifies the key stages involved and highlights the role of automated systems in reducing the effect of data snooping. ...
    • Small Sample Properties of Forecasts from Autoregressive Models under Structural Breaks 

      Pesaran, M. Hashem; Timmermann, Allan (2004-06-16)
      Autoregressive models are used routinely in forecasting and often lead to better performance than more complicated models. However, empirical evidence is also suggesting that the autoregressive representations of many ...
    • Testing Dependence Among Serially Correlated Multi-category Variables 

      Pesaran, M. Hashem; Timmermann, Allan (Faculty of Economics, University of Cambridge, UK, 2006-07)
      The contingency table literature on tests for dependence among discrete multi-category variables assume that draws are independent, and there are no tests that account for serial dependencies − a problem that is particularly ...
    • Variable Selection and Inference for Multi-period Forecasting Problems 

      Pesaran, M. Hashem; Pick, Andreas; Timmermann, Allan (Faculty of Economics, University of Cambridge, UK, 2009-01)