Technical Appendix to 'The Contribution of Structural Break Models to Forecasting Macroeconomic Series'

42 Pages Posted: 21 Aug 2011 Last revised: 10 May 2017

See all articles by Luc Bauwens

Luc Bauwens

Université catholique de Louvain

Gary Koop

University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics

Dimitris Korobilis

University of Glasgow - Adam Smith Business School

J. V. K. Rombouts

HEC Montreal; Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE); Centre interuniversitaire sur le risque, les politiques économiques et l'emploi (CIRPÉE); Center for Interuniversity Research and Analysis on Organization (CIRANO)

Date Written: December 10, 2013

Abstract

The first three appendices contain details about the implementation of the estimation and forecasting of the structural break models named PPT and KP in the paper. These models are explained in Section 2 of the paper and information about the forecasting implementation of these models is presented in Section 4 of the paper. The fourth appendix contains tables that show detailed results that are summarized and discussed in Section 5 of the paper.

Keywords: Forecasting, Structural Breaks, Change Points, Markov Switching, Bayesian Inference

JEL Classification: C11, C22, C53

Suggested Citation

Bauwens, Luc and Koop, Gary and Korobilis, Dimitris and Rombouts, Jeroen, Technical Appendix to 'The Contribution of Structural Break Models to Forecasting Macroeconomic Series' (December 10, 2013). Available at SSRN: https://ssrn.com/abstract=1913412 or http://dx.doi.org/10.2139/ssrn.1913412

Luc Bauwens

Université catholique de Louvain ( email )

CORE
34 Voie du Roman Pays
B-1348 Louvain-la-Neuve, b-1348
Belgium
32 10 474321 (Phone)
32 10 474301 (Fax)

Gary Koop

University of Strathclyde, Glasgow - Strathclyde Business School - Department of Economics ( email )

100 Cathedral Street
Glasgow G4 0LN
United Kingdom

Dimitris Korobilis (Contact Author)

University of Glasgow - Adam Smith Business School ( email )

40 University Avenue
Gilbert Scott Building
Glasgow, Scotland G12 8QQ
United Kingdom

HOME PAGE: http://https://sites.google.com/site/dimitriskorobilis/

Jeroen Rombouts

HEC Montreal ( email )

3000, Chemin de la Côte-Sainte-Catherine
Montreal, Quebec H3T 2A7
Canada

Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE) ( email )

34 Voie du Roman Pays
B-1348 Louvain-la-Neuve, b-1348
Belgium

Centre interuniversitaire sur le risque, les politiques économiques et l'emploi (CIRPÉE) ( email )

Pavillon De Sève
Ste-Foy, Quebec G1K 7P4
Canada

Center for Interuniversity Research and Analysis on Organization (CIRANO) ( email )

2020 rue University, 25th floor
Montreal H3C 3J7, Quebec
Canada

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