Paper #1476

Título:

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

Autores:

Raffaella Giacomini y Barbara Rossi

Data:

Diciembre 2014

Resumen:

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.

Palabras clave:

Forecasting, instabilities, structural breaks.

Área de investigación:

Macroeconomía y Economía Internacional / Estadística, Econometría y Métodos Cuantitativos

Publicado en:

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

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