Macroeconomic Forecasting and Structural Change

Antonello D'Agostino, Luca Gambetti, Domenico Giannone and Domenico Giannone
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Domenico Giannone: ECARES, Université Libre de Bruxelles
Authors registered in the RePEc Author Service: Domenico Giannone

No 8/RT/09, Research Technical Papers from Central Bank of Ireland

Abstract: The aim of this paper is to assess whether explicitly modeling structural change increases the accuracy of macroeconomic forecasts. We produce real time out-of-sample forecasts for inflation, the unemployment rate and the interest rate using a Time-Varying Coefficients VAR with Stochastic Volatility (TV-VAR) for the US. The model generates accurate predictions for the three variables. In particular for inflation the TVVAR outperforms, in terms of mean square forecast error, all the competing models: fixed coefficients VARs, Time-Varying ARs and the na¨ýve random walk model. These results are also shown to hold over the most recent period in which it has been hard to forecast inflation.

JEL-codes: C32 E37 E47 (search for similar items in EconPapers)
Pages: 29 pages
Date: 2009-10
New Economics Papers: this item is included in nep-for and nep-mac
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Citations: View citations in EconPapers (47)

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https://centralbank.ie/docs/default-source/publica ... annone).pdf?sfvrsn=4 (application/pdf)

Related works:
Journal Article: Macroeconomic forecasting and structural change (2013)
Working Paper: Macroeconomic forecasting and structural change (2010)
Working Paper: Macroeconomic Forecasting and Structural Change (2009)
Working Paper: Macroeconomic Forecasting and Structural Change (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:cbi:wpaper:8/rt/09

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