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

Raffaella Giacomini () and Barbara Rossi

No 819, Working Papers from Barcelona School of Economics

Abstract: 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.

Keywords: structural breaks; forecasting; instabilities (search for similar items in EconPapers)
JEL-codes: C22 C52 C53 (search for similar items in EconPapers)
Date: 2015-09
New Economics Papers: this item is included in nep-ets and nep-for
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Related works:
Journal Article: 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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Persistent link: https://EconPapers.repec.org/RePEc:bge:wpaper:819

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