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Activity Number:
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463
- SPEED: Methodological Advances in Time Series: BandE Speed Session, Part 1
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Type:
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Contributed
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Date/Time:
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Wednesday, July 31, 2019 : 8:30 AM to 10:20 AM
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Sponsor:
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Business and Economic Statistics Section
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Abstract #305149
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Presentation
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Title:
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Efficient Prediction under Model Instabilities
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Author(s):
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Shahnaz Parsaeian*
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Companies:
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Keywords:
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Model Instabilities;
Combined Estimation
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Abstract:
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This paper aims to improve the prediction under model instabilities. Model instability is defined as a permanent change in the parameters of the model. We introduce a combined estimator of the post-break data and full-sample data and show that this combined estimator has a lower MSFE compared to the post-break estimator, which is a standard solution under model instabilities. The combination weight lies between zero and one. Monte Carlo experiment demonstrates our theoretical findings.
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Authors who are presenting talks have a * after their name.
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