Paper #1476

Títol:

Forecasting in nonstationary environments: What works and what doesn't in reduced-form and structural models

Autors:

Raffaella Giacomini i Barbara Rossi

Data:

Desembre 2014

Resum:

This review provides an overview of forecasting methods that can help researchers forecast in the presence of non-stationarities caused by instabilities. The emphasis of the review is both theoretical and applied, and provides several examples of interest to economists. We show that modeling instabilities can help, but it depends on how they are modeled. We also show how to robustify a model against instabilities.

Paraules clau:

Forecasting, instabilities, structural breaks.

Àrea de Recerca:

Macroeconomia i Economia Internacional / Estadística, Econometria i Mètodes Quantitatius

Publicat a:

Annual Review of Economics, 7, 207-229, 2015

Descarregar el paper en format PDF