Uncovering regimes in out of sample forecast errors from predictive regressions Working Papers

authors

DA SILVA NETO, ANIBAL EMILIANO
GONZALO MUÑOZ, JESUS
PITARAKIS, JEAN-YVES

publisher

UNIVERSIDAD CARLOS III DE MADRID

publication date

2020

series title

Working paper. Economics

full text

https://hdl.handle.net/10016/31555

series number

20-14

keywords

predictive regressions; predictability; out of sample forecast errors; cusum; thresholds