Macroeconomic forecasting and structural change

Domenico Giannone, Antonello D'Agostino and Luca Gambetti

No 1167, Working Paper Series from European Central Bank

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 TV-VAR outperforms, in terms of mean square forecast error, all the competing models: fixed coefficients VARs, Time-Varying ARs and the na JEL Classification: C32, E37, E47

Keywords: forecasting; inflation; stochastic volatility; time varying vector autoregression (search for similar items in EconPapers)
Date: 2010-04
New Economics Papers: this item is included in nep-cba, nep-ecm, nep-ets, nep-for and nep-mac
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Citations: View citations in EconPapers (7)

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Related works:
Journal Article: Macroeconomic forecasting and structural change (2013)
Working Paper: Macroeconomic Forecasting and Structural Change (2009)
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:ecb:ecbwps:20101167

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