Forecasting Random Walks Under Drift Instability

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Authors
Pesaran, M. Hashem
Pick, Andreas
Publication Date
2008-03
Series
Cambridge Working Papers in Economics
Publisher
Faculty of Economics
Type
Working Paper
Metadata
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Citation
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
Identifiers
CWPE0814
This record's DOI: https://doi.org/10.17863/CAM.5322
This record's URL: http://www.dspace.cam.ac.uk/handle/1810/229474https://www.repository.cam.ac.uk/handle/1810/229474


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