Forecasting in Nonstationary Environments: What Works and What Doesn't in Reduced-Form and Structural Models

Raffaella Giacomini () and Barbara Rossi

Annual Review of Economics, 2015, vol. 7, issue 1, 207-229

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

Keywords: instabilities; structural breaks (search for similar items in EconPapers)
JEL-codes: C22 C52 C53 (search for similar items in EconPapers)
Date: 2015
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Citations: View citations in EconPapers (8)

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Related works:
Working Paper: Forecasting in Nonstationary Environments: What Works and What Doesn't in Reduced-Form and Structural Models (2015)
Working Paper: Forecasting in nonstationary environments: What works and what doesn't in reduced-form and structural models (2014)
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