Testing for predictive ability in the presence of structural breaks (in Russian)

Abstract

We propose a new approach to testing for predictive ability in the presence of structural breaks in data. Our approach extends the well-known results of West (1996) and West & McCracken (1998), and is alternative to methods developed in Giacomini & White (2006) and Giacomini & Rossi (2010).testing for predictive ability, forecast evaluation, structural change