The Behavioral and Experimental Economics group has an influential position in this field in the Netherlands and Europe. CREED, the Amsterdam-based group, focuses particularly on three main projects: economics of political decision making; bounded rationality and institutions and experimental economics. The research of the Rotterdam-based group focuses on two broad themes: decision under risk and uncertainty and intertemporal choice.
- M. Hashem Pesaran, A. Pick
- Journal of Business & Economic Statistics, 2011, 29(2) 307-18
In this article we consider combining forecasts generated from the same model but over different estimation windows. We develop theoretical results for random walks with breaks in the drift and volatility and for a linear regression model with a break in the slope parameter. Averaging forecasts over different estimation windows leads to a lower bias and root mean square forecast error (RMSFE) compared with forecasts based on a single estimation window for all but the smallest breaks. An application to weekly returns on 20 equity index futures shows that averaging forecasts over estimation windows leads to a smaller RMSFE than some competing methods.
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