How to overcome structural breaks when forecasting: Bank study
A Bank of England paper published on Tuesday examines how to forecast in the presence of structural changes in data.
Jana Eklund, George Kapetanios and Simon Price, the paper's authors, argue that a common source of forecast failure is the existence of structural breaks in the data generating process, for example, an abrupt parameter shift.
Eklund, Kapetanios and Price consider a number of monitoring and forecasting techniques that take account of structural breaks. These include rolling
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