Andreas Pick

Forecasting with Structural Breaks

Should we worry about structural breaks when forecasting? Andreas Pick and Tom Boot have developed a test for structural breaks that is based on the mean square forecast error. It tests whether forecasts will be more precise when structural breaks are accounted for.

Mr Pick’s research interests are in the areas of applied and theoretical econometrics. With Michael Biggs, he has been working on establishing the link between credit and economic growth, which has been much discussed during and after the financial crisis. He is also starting a joint project with Hashem Pesaran and Allan Timmermann on forecasting with panel data, a topic that has received relatively little attention in the econometrics literature.

Andreas Pick is an Associate Professor at the Econometric Institute of the Erasmus School of Economics and Director of Graduate Studies at Tinbergen Institute. In a part time position, he is also an economist in the research department of the Dutch Central Bank. He is a Fellow of Tinbergen Institute and the Erasmus Research Institute of Management. Previously, he was a research fellow at the University of Cambridge and a research economist at the UK Debt Management Office. He holds a PhD from the University of Cambridge and a Masters degree from Humboldt-University. His Abitur from is from the Wilhelmsgymnasium, Munich. He has published in the Journal of Business & Economic Statistics, Journal of Economic Behavior & Organization, the Journal of Econometrics, the Oxford Bulletin of Economics & Statistics, Journal of Banking & Finance among others.