Structural breaks and interest rates forecast : a sequential approach
| dc.contributor.author | Fernández Serrano, José Luis | |
| dc.contributor.author | Robles Fernández, María Dolores | |
| dc.date.accessioned | 2023-06-21T01:44:44Z | |
| dc.date.available | 2023-06-21T01:44:44Z | |
| dc.date.issued | 2001 | |
| dc.description.abstract | Se analiza el impacto de los cambios estructurales en la evaluación de la capacidad predictiva. Este trabajo se interesa en la previsión de los tipos de interés del mercado interbancario, utilizandose nuevos métodos secuenciales para estimar los puntos de corte de manera endógena. Posteriormente se compara las previsiones hechas con los modelos que incorporan los cambios estructurales detectados con modelos en los que no se han tenido en cuenta. Los resultados parecen indicar escasas ganacias cuando se incorpora la información sobre el cambio estructural. The analysis of the future behaviour of economic variables can be biased if structural breaks are not considered. When these structural breaks are present, the in-sample fit of a model gives us a poor guide to ex-ante forecast performance. This problem is shared by univariate and multivariate analysis and can be extremely important when cointegration relationships are analysed. The main goal of this paper consists in analysing the impact of structural breaks on forecast accuracy evaluation. We are concerned in forecasting several interest rates from the Spanish interbank money market | |
| dc.description.faculty | Fac. de Ciencias Económicas y Empresariales | |
| dc.description.faculty | Instituto Complutense de Análisis Económico (ICAE) | |
| dc.description.refereed | TRUE | |
| dc.description.status | pub | |
| dc.eprint.id | https://eprints.ucm.es/id/eprint/6794 | |
| dc.identifier.doi | b19839911 | |
| dc.identifier.relatedurl | https://www.ucm.es/icae | |
| dc.identifier.uri | https://hdl.handle.net/20.500.14352/64469 | |
| dc.issue.number | 10 | |
| dc.language.iso | eng | |
| dc.page.total | 26 | |
| dc.publication.place | Madrid | |
| dc.publisher | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | |
| dc.relation.ispartofseries | Documentos de trabajo del Instituto Complutense de Análisis Económico (ICAE) | |
| dc.rights.accessRights | open access | |
| dc.subject.keyword | Tipos de interés | |
| dc.subject.keyword | mercado interbancario Forecast accuracy comparison | |
| dc.subject.keyword | Endogenous structural breaks | |
| dc.subject.keyword | Sequential test | |
| dc.subject.keyword | Interest rates forecast | |
| dc.title | Structural breaks and interest rates forecast : a sequential approach | |
| dc.type | technical report | |
| dc.volume.number | 2001 | |
| dcterms.references | Andrews, D. W. K. (1993), “Test for Parameter Instability and Structural Change with Unknown Change Point,” Econometrica, 61, 821-856. Bai, J. (1994), “Least Square Estimation of a Shift in linear Processes,” Journal of Time Series Analysis, 15, 453-472. Bai, J. and Perron, P. (1998), “Estimating and Testing Linear Models with Multiple Structural Changes,” Econometrica, 66, 47-78. Banerjee, A., Lumsdaine, R. and Stock, J. 1992), “Recursive and Sequential Tests of the Unit-Root and Trend-Break Hypothesis, Theory and International Evidence,” Journal of Business & Economic Statistics, 10, 271-287. Christiano, L. J. (1992), “Searching for a Break in GNP,” Journal of Business & Economic Statistics, 10, 237-250. Chu, C. S., Stinchcombe, M. and White, H.(1996), “Monitoring Structural Change,” Econometrica, 64-1045-1065. Clemens, M. P. and Hendry, D. F. (1995), “Macro-Economic Forecasting and Modelling,” Economic Journal, 105, 1001-1013. Clemens, M. P. and Hendry, D. F. (1996), “Intercept Corrections and Structural Change,” Journal of Applied Econometric, 11, 475-492. Clemens, M. P. and Hendry, D. F. (1998a), Forecasting Economic Time Series, Cambridge University Press, Cambridge, UK. Clemens, M. P. and Hendry, D. F. (1998b), “Forecasting Economic Processes,” International Journal of Forecasting, 14, 111-131. Clemens, M. P. and Hendry, D. F. (1999), “On Winning Forecasting Competition in Economics, ”Spanish Economic Review, 1, 123-160. Dickey, D.A. and Fuller, W. A. (1979), “Distribution of the Estimators for an Autoregressive Time Series with a Unit Root” Journal of the American Statistical Association, 74, 427-431. Diebold, F. X. and Mariano, R. (1995), “Comparing Predictive Accuracy,” Journal of Business Economics and Statistics, 13, 253-264. Fernández-Serrano, J. L. and Peruga-Urrea, R. (1999a), “Un Contraste ADF Secuencial para la Detección de Cambios en la Tendencia Estocástica”, Working Paper 5/99, Universidad Europea-CEES, Madrid. Fernández-Serrano, J. L. and Peruga-Urrea, R. (1999b), “Un Contraste ADF Secuencial para la Detección de Cambios en el Orden de Integración”, Working Paper 6/99, Universidad Europea-CEES, Madrid. Fildes, R. and Makridakis, S. (1995), “The Impact of Empirical Accuracy Studies on Time Series Analysis and Forecasting,” International Statistical Review, 63, 289-308. Journal of Business and Economic Statistics (1992): Special Section-“Break Point and Unit Roots”, 27 237-335. Montañes, A. (1996), “Contraste de Raíz Unitaria y Ruptura Estructural: Un Estudio de Monte Carlo para los Estadísticos Rolling, Recursivo y Secuencial,” Revista Española de Economía, 13, 39-74. Pagan, A. R., Hall, A. D. and Martin, V. (1996), “Modeling the Term Structure,” Handbook of Statistics, 14, 91-118, edited by G. S. Maddala and C. R. Rao, Elsevier Science B. V., Amsterdam. Perron, P. and Vogelsang, T. J. (1992), “Non-Stationarity and Level Shifts with an Application to Purchasing Power Parity,” Journal of Business & Economic Statistics, 10, 301-320. Zivot, E. and Andrews, D. (1992), “Further Evidence on the Great Crash, the Oil Price Shock, and the Unit Root Hypothesis,” Journal of Business & Economic Statistics, 10, 251-270. | |
| dspace.entity.type | Publication | |
| relation.isAuthorOfPublication | fac00adf-67d0-467f-a944-c3830f5ddb54 | |
| relation.isAuthorOfPublication.latestForDiscovery | fac00adf-67d0-467f-a944-c3830f5ddb54 |
Download
Original bundle
1 - 1 of 1
