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Bayesian methods of learning and model comparison are used to derive a predictive density that takes into account the possibility that a break will occur before the next observation. Estimates for the posterior distribution of the most recent break are generated as a by\u2010product of our procedure. We discuss the importance of using priors that accurately reflect the econometrician's opinions as to what constitutes a plausible forecast. Several applications to macroeconomic time\u2010series data demonstrate the usefulness of our procedure. Copyright \u00a9 2008 John Wiley &amp; Sons, Ltd.<\/jats:p>","DOI":"10.1002\/jae.1018","type":"journal-article","created":{"date-parts":[[2008,8,20]],"date-time":"2008-08-20T04:22:43Z","timestamp":1219206163000},"page":"553-583","source":"Crossref","is-referenced-by-count":52,"title":["Learning, forecasting and structural breaks"],"prefix":"10.1002","volume":"23","author":[{"given":"John M.","family":"Maheu","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Stephen","family":"Gordon","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2008,8,19]]},"reference":[{"key":"e_1_2_6_2_1","doi-asserted-by":"publisher","DOI":"10.2307\/2951764"},{"key":"e_1_2_6_3_1","doi-asserted-by":"publisher","DOI":"10.1111\/1468-0262.00466"},{"key":"e_1_2_6_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/0304-4076(94)01682-8"},{"key":"e_1_2_6_5_1","doi-asserted-by":"publisher","DOI":"10.2307\/2998540"},{"key":"e_1_2_6_6_1","doi-asserted-by":"publisher","DOI":"10.2307\/2347570"},{"key":"e_1_2_6_7_1","doi-asserted-by":"publisher","DOI":"10.1080\/01621459.1995.10476635"},{"key":"e_1_2_6_8_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(97)00115-2"},{"key":"e_1_2_6_9_1","doi-asserted-by":"publisher","DOI":"10.1016\/S1573-4412(01)05010-3"},{"key":"e_1_2_6_10_1","article-title":"Evolving post\u2010world war II US inflation dynamics","volume":"16","author":"Cogley T","year":"2002","journal-title":"NBER Macroeconomics Annual"},{"key":"e_1_2_6_11_1","doi-asserted-by":"publisher","DOI":"10.2307\/2527098"},{"issue":"1","key":"e_1_2_6_12_1","first-page":"1","article-title":"The role of monetary policy: presidential address to AEA","volume":"58","author":"Friedman M","year":"1968","journal-title":"American Economic Review"},{"key":"e_1_2_6_13_1","doi-asserted-by":"crossref","first-page":"501","DOI":"10.1111\/j.2517-6161.1994.tb01996.x","article-title":"Bayesian model choice: asymptotics and exact calculations","volume":"56","author":"Gelfand A","year":"1994","journal-title":"Journal of the Royal Statistical Society B"},{"key":"e_1_2_6_14_1","doi-asserted-by":"crossref","unstructured":"GewekeJ.1994.Bayesian comparison of econometric models. 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