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A new structural break model, with an application to Canadian inflation forecasting

โœ Scribed by Maheu, John M.; Song, Yong


Book ID
122987422
Publisher
Elsevier Science
Year
2014
Tongue
English
Weight
492 KB
Volume
30
Category
Article
ISSN
0169-2070

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โœ Sridhar Iyer; Rick L. Andrews ๐Ÿ“‚ Article ๐Ÿ“… 1999 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 195 KB ๐Ÿ‘ 2 views

In this paper we develop a latent structure extension of a commonly used structural time series model and use the model as a basis for forecasting. Each unobserved regime has its own unique slope and variances to describe the process generating the data, and at any given time period the model predic