Forecasting Random Walks Under Drift Instability
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Authors
Pesaran, M. Hashem
Pick, Andreas
Publication Date
2008-03Series
Cambridge Working Papers in Economics
Publisher
Faculty of Economics
Type
Working Paper
Metadata
Show full item recordCitation
Pesaran, M. H., & Pick, A. (2008). Forecasting Random Walks Under Drift Instability. https://doi.org/10.17863/CAM.5322
Keywords
Forecast combinations, averaging over estimation windows, exponentially down-weighting observations, structural breaks
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