Browsing by Subject "parameter uncertainty"

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Title: Forecasting Macroeconomic Variables Using Diffusion Indexes in Short Samples with Structural Change Author(s): BANERJEE, Anindya; MARCELLINO, Massimiliano; MASTEN, Igor Date: 2008 Type of Publication: Working Paper Series/Report no.: EUI ECO Abstract: We conduct a detailed simulation study of the forecasting performance of diffusion index-based methods in short samples with structural change. We consider several data generation processes, to mimic different types ...

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