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The uncertainty of forecasting: models with structural change versus those without changing parameters |
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| Authors: | David H Moen Lyle D Broemeling |
| Institution: | 1. School of Business , University of South Dakota , Vermillion, South Dakota, 57069;2. Department of Statistics , Oklahoma State University , Stillwater, Oklahoma, 74078 |
| Abstract: | The Bayesian predictive density is found for future observations of the unknown dependent variables for a multivariate linear model with a single shift in the regression matrix. A numerical example shows that it is dangerous to predict future observations with an unchanging parameter model when the appropriate model should include structural change. |
| Keywords: | multivariate linear model Bayesian predictive density Single shift in the regressin matrix |