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dc.contributor.authorPesaran, M. Hashemen_GB
dc.contributor.authorTimmermann, Allanen_GB
dc.date.accessioned2004-06-16T16:05:21Z
dc.date.available2004-06-16T16:05:21Z
dc.date.created2003-01en_GB
dc.date.issued2004-06-16T16:05:21Z
dc.identifier.urihttp://www.dspace.cam.ac.uk/handle/1810/338
dc.identifier.urihttps://www.repository.cam.ac.uk/handle/1810/338
dc.description.abstractEmpirical 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 between the forecast and the realisation, and on the ability to forecast the sign or direction of a time-series that is subject to breaks. Our results suggest that it can be very costly to ignore breaks. Forecasting approaches that condition on the most recent break are likely to perform better over unconditional approaches that use expanding or rolling estimation windows, provided that the break is reasonably large.en_GB
dc.format.extent403672 bytes
dc.format.mimetypeapplication/pdfen_GB
dc.format.mimetypeapplication/pdf
dc.language.isoen_GB
dc.publisherFaculty of Economics
dc.relation.ispartofseriesCambridge Working Papers in Economics
dc.rightsAll Rights Reserveden
dc.rights.urihttps://www.rioxx.net/licenses/all-rights-reserved/en
dc.subject.classificationClassification-JEL: C22, G10en_GB
dc.subject.othersign prediction, estimation window, structural breaksen_GB
dc.titleHow Costly is it to Ignore Breaks when Forecasting the Direction of a Time Series?en_GB
dc.typeWorking Paperen
dc.identifier.doi10.17863/CAM.5390


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