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In this paper, we propose a new estimation method that exploits the prebreak information. In particular, we show how to combine the estimator using the full\u2010sample (i.e., both the prebreak and postbreak data) and the estimator using only the postbreak sample. The full\u2010sample estimator is inconsistent when there is a break while it is efficient. The postbreak estimator is consistent but inefficient. Hence, depending on the severity of the breaks, the full\u2010sample estimator and the postbreak estimator can be combined to balance the consistency and efficiency. We derive the Stein\u2010like combined estimator of the full\u2010sample and the postbreak estimators, to balance the bias\u2010variance trade\u2010off. The combination weight depends on the break severity, which we measure by the Wu\u2013Hausman statistic. We examine the properties of the proposed method, analytically in theory, numerically in simulation, and also empirically in forecasting real output growth across nine industrial economies.<\/jats:p>","DOI":"10.1002\/jae.2908","type":"journal-article","created":{"date-parts":[[2022,5,12]],"date-time":"2022-05-12T03:57:50Z","timestamp":1652327870000},"page":"965-987","update-policy":"http:\/\/dx.doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":3,"title":["Optimal forecast under structural breaks"],"prefix":"10.1002","volume":"37","author":[{"given":"Tae\u2010Hwy","family":"Lee","sequence":"first","affiliation":[{"name":"Department of Economics University of California  Riverside California USA"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Shahnaz","family":"Parsaeian","sequence":"additional","affiliation":[{"name":"Department of Economics University of Kansas  Lawrence Kansas USA"}],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Aman","family":"Ullah","sequence":"additional","affiliation":[{"name":"Department of Economics University of California  Riverside California USA"}],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"311","published-online":{"date-parts":[[2022,6]]},"reference":[{"key":"e_1_2_10_2_1","doi-asserted-by":"publisher","DOI":"10.2307\/2951764"},{"key":"e_1_2_10_3_1","doi-asserted-by":"publisher","DOI":"10.2307\/2998540"},{"key":"e_1_2_10_4_1","doi-asserted-by":"publisher","DOI":"10.1002\/jae.659"},{"key":"e_1_2_10_5_1","doi-asserted-by":"publisher","DOI":"10.1057\/jors.1969.103"},{"key":"e_1_2_10_6_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2019.07.007"},{"key":"e_1_2_10_7_1","doi-asserted-by":"crossref","unstructured":"Castle J. 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