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Activity Number: 519 - SPEED: Methodological Advances in Time Series: BandE Speed Session, Part 2
Type: Contributed
Date/Time: Wednesday, July 31, 2019 : 10:30 AM to 11:15 AM
Sponsor: Business and Economic Statistics Section
Abstract #307888
Title: Efficient Prediction under Model Instabilities
Author(s): Shahnaz Parsaeian*
Companies:
Keywords: Forecasting; Optimal weight; Structural Break; Shrinkage; Stein
Abstract:

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.


Authors who are presenting talks have a * after their name.

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